Lecture #12

Characteristic Function
Some distributions do not have m.g.f. so another function, instead of m.g.f. is
introduced which is known as the characteristic function (c.f.) and every
distribution has the characteristic function. It is denoted by and is defined as:

where √ and “t” is an

arbitrary real value
Every distribution has a unique characteristic function. If X has a distribution with
characteristic function, then

= ‒ E(X2).
The characteristic function can be written as:
where M is m.g.f.
Example:
If then c.f. is: Find the mean and
variance using c.f.
Solution: The given c.f. is:

( )

( )

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 ⟹

Mean= . Note: Please find variance yourself.

Properties of Characteristic Function

1. It is used to generate those moments of a random variable (say X) which
exist by the following formula:

2. It uniquely determines the density function of random variable X as follows:

3. The c.f. always exists which is not true for m.g.f.

4. The uniqueness property is valid for c.f. i.e. the c.f. of any random variable
X is unique.
5. The inversion theorems are all based upon c.f. of the random variable which
is not the case for m.g.f.
6. The c.f. of a random variable X is the expected value of complex function:

7. By simply replacing “t” by “it” in m.g.f., we can get c.f. of that random
variable.
8. If then
9. | | | |
As | | √ and
| | | | √ √ .
10.If then
which is known as the conjugate of .

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Example:
Find the p.d.f. of a random variable X if we have c.f. for it as:
| |
.
Solution:
The p.d.f. using inversion theorem is:

| |
∫

*∫ ∫ +

*∫ ∫ +

[| | | | ]

*( ) ( )+

[( ) ( )]

[ ]

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 * +

[ ]

[ ]

which is the required pdf.

Inversion Theorem
The characteristic function uniquely determines the distribution function. If c.f.
is a given then distribution function is:

Proof:
Let consider

∫ *∫ +

Defining the c.f. for random variable S, we have

∫ *∫ ∫ +

Now the double integral in the brackets can be written as:

∫ ∫ ∫ ∫

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 Put

∫ ∫ ∫ ∫

∫ ∫

∫ [ ]

So

∫ ∫

Now consider du=dq

(∫ ∫ )

Now Using the Fourier integral given below, we have:

[ ]

∫ (2)

which completes the proof.

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Note: We differentiate eq. (2) with respect to X, then we have the p.d.f. as:

which is the inversion theorem for finding the p.d.f of a random variable X.

……………………………………………………………………………………….

Information About Above Application of Formulas

Formula of “sin is:

The Fourier integral is:

∫ .

Considering q= w and z=x in 1st integral and q ‒ x = w, z=0 in 2nd integral.

The Uniqueness Theorem

Two will be identical iff their are identical i.e. Iff
.

Exercise: Find the p.d.f. of a random variable X if the c.f. for it is as:
2
(t )  e 0.5t .

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