Chapter 7

Characteristic functions
Lectures 31 - 33
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.

Definition 7.1 (Characteristic functions) The characteristic function of a random variable

is defined

as

(where

Example 7.0.43

Let

. Then

Example 7.0.44 Let

Theorem 7.0.34
continuous on

. Then

For any random variable

, its characteristic function

and satisfies

(i)
(ii)
(iii)

where for

a complex number,

Proof: We prove (iii), (i) and (ii) are exercises.

Now we show that

is uniformly continuous. Consider

denote the conjugate.

is uniformly

Using Dominated Convergence theorem,

that

uniformly in

as

. This imply

is uniformly continuous.

Theorem 7.0.35

If the random variable

continuous derivatives upto order

has finite moments upto order

. Then

has

.More over

Proof. Consider

since

, we get

Hence by Dominated Convergence theorem

Therefore

Put

, we get

For higher order derivatives, repeat the above arguments.

Theorem 7.0.36 (Inversion theorem) Let

characteristic function

whenever

. Then

are points of continuity of

Proof. Consider

be a random variable with distribution function

and

(7.0.1)

The second equality follows from the change of order of integration. Now

(7.0.2)

, we have

Hence, using

(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.

Theorem 7.0.37 (Uniqueness Theorem)

Let

be two random variables such that

. Then

distribution.

Proof: Using Inversion theorem, we have

for all

such that
, we have

Now let

for all

are continuous at

at which

Therefore

and

are continuous.

and

have same

Now we state the following theorem whose proof is beyond the scope of this course.

Theorem 7.0.38 (Continuity Theorem) Let

be random variables on

such

that,

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

using inversion theorem we

have

and

Now by letting first

and

For x such that

then

and finally , we get

Here note that above mentioned limits need justification.