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In this chapter, we introduce the notion of characteristic function of a random variable and study its properties. Characteristic function serves as an important tool for analyzing random phenomenon.
is defined
(where
Example 7.0.43
Let
. Then
. Then
Theorem 7.0.34
continuous on (i) (ii) (iii)
is uniformly
and satisfies
where for
a complex number,
uniformly in
as
. This imply
Theorem 7.0.35
. Then
has
Proof. Consider
since
, we get
Therefore
Put
, we get
and
whenever
Proof. Consider
(7.0.1)
The second equality follows from the change of order of integration. Now
(7.0.2)
Hence, using
, we have
(7.0.3) Using
we get
(7.0.4)
where
Similarly, the other integral. Combining (7.0.1), (7.0.3) and (7.0.4), we complete the proof.
are continuous at
and
for all
at which
and
are continuous.
Therefore
Now we state the following theorem whose proof is beyond the scope of this course.
be random variables on
such
Then
for all
such that
is continuous at
Proof:
A detailed proof is beyond the scope of this course but I will give an idea of the proof. Choose a standard normal random variable Y which is independent of X and such that have For x such that
and
and
then