Questions about characteristic functions, of a set (which gives $1$ if the element is on the set and $0$ otherwise) or of a random variable (its Fourier transform). Do not use this tag if you are asking about the method of characteristics in PDE or the characteristic polynomial in linear algebra.

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1answer
24 views

Comparing sums of random variables

Consider $X_0,X_1\ldots,X_n$ mutually independent and $X_i \sim U(a_i,b_i)$. What is the probability that $\sum_{i=1}^n X_i<X_0$? Can you extend to mutually independent random variables with ...
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2answers
15 views

Convergence of a function involving a characteristic function of a decreasing interval

Let $f_k: \mathbb{R} \rightarrow \mathbb{R} , f_k(x) = \frac{1}{\sqrt{x}}\chi_{\left[\frac{1}{2^{k+1}},\frac{1}{2^k}\right]}(x)$ For $k \rightarrow \infty $ the interval ...
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2answers
40 views

Calculation of a characteristic function

Suppose $X_1, X_2, \ldots X_n \ldots$ are independent random variables with $$P(X_n = 1) = \frac{1}{2}$$$$P(X_n = -1) = \frac{1}{2}$$ Then $$\sqrt{\frac{3}{n^3}}\sum_{k=1}^n kX_k$$ converges to ...
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1answer
15 views

Is it possible to evaluate a normalizing constant for a characteristic function

Let $X$ be a random variable with density $f$ and characteristic function $\varphi$. Say we know $\varphi$ up to a constant $c$. Is it possible to evaluate this constant using $\int f(x)dx=1$ (or by ...
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0answers
9 views

Problem in the correspondence between boolean rings and boolean algebra through characteristic functions

I was working on the relation between boolean algebras and boolean ring and that they are in fact, the same object. But I find something which seems to be incorrect, It's quite long and I try to give ...
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1answer
39 views

Is a density function integrable?

Let $X \in \mathbb{R}$ be a continuous random variable with density function $f$ (i.e. $f(x)\geq 0$ and $\int f(x)dx=1$). Does this mean that $\int |f(x)|dx < \infty$ i.e. $f \in L^1$? (The reason ...
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0answers
43 views

$e^{-d|z|^\alpha}$, $d\geq0,0<\alpha\leq2$, is characteristic function of a stable distribution

Problem: Prove that $e^{-d|z|^\alpha}$ is characteristic function of a stable distribution, if $d\geq0$ and $0<\alpha\leq2$. A note on the definition of stable: Note that a measure $\mu$ ...
2
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1answer
22 views

Showing convergence by using Levy's continuity theorem

Let $X_n \sim \mathrm{Po} (n)$. I want to show that $Y_n = \displaystyle \frac{X_n -n}{ \sqrt{n}}$ for $n \rightarrow \infty$ converges in distribution to a random variable that is standard normal ...
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3answers
41 views

Proving that the characteristic function of $f(x)=\frac{1-\cos(x)}{\pi x^2}$ is $\max(1-|t|,0)$

How to prove that $\int_{\mathbb{R}}e^{itx}\frac{1-\cos(x)}{\pi x^2}dx=\max(1-|t|,0)$? Thank you!
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1answer
33 views

Characteristic function, how to integrate?

Find the characteristic function $\phi_X(t)$ of an absolute continious r.v. $X$ with density: $$f_X(x) = \frac{a}{2}e^{-a|x|} \qquad (a>0; x\in \mathbb{R})$$ Notation I have some ...
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1answer
39 views

What is the characterstic function?

Good evening, what is the characteristic function of a distribution with density function $$f(x) = \frac{1}{2\lambda}e^{-\frac{|x|}{\lambda}},$$ while $x\in\mathbb{R}$ with parameter $\lambda > ...
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1answer
79 views

Find the characteristic function of combination of random variables

I have the same problem as here: Find characteristic function of random variable. Could you explain last equality? Can I get it without using law of total expectation? Update I have some idea, $E $$ ...
1
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1answer
35 views

Characteristics subgroups, normal subgroups and the commutator.

Let $G$ be a group and let $N$ be a normal subgroup of $G.$ Let $N'$ denote the commutator of $N.$ Prove that $N'$ is a normal subgroup of $G.$ What I do know is that the commutator subgroup is ...
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1answer
26 views

If the characteristics function of a random variable is differentiable even times then it has finite moment of even order

If the characteristics function of a random variable is differentiable $2n$ times then it has finite moment up to even order $2n$. We know the converse is correct, but how can we prove this statement? ...
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1answer
41 views

Weak Convergence If and Only If (Pointwise) Convergence of Characteristic Function

This is actually a theorem from lecture notes, with the corresponding proof. Unfortunately, it doesn't prove the last bit, or mention it at all (!), and I have a question about the penultimate bit. ...
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1answer
22 views

Carrying out the passage to the limit under an integral sign

For a sequence of distribution functions $(F_n)$ and their characteristic functions $(\varphi_n)$ I got $$ ...
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1answer
49 views

Characteristic function proof

How to prove that: $$ \frac{\exp(-x^2)+1}{2}$$ is a characteristic function? I will be grateful for any help!
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2answers
31 views

Is expectation of random variable independent of its characteristic function?

For any random variable, does that equation hold? I proved for normal distribution, but I can't generalize. E$[xe^{itx}] = E[x]E[e^{itx}]$ Thanks in advance.
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0answers
22 views

Borel function and characteristic equation

Define a Borel probability measure $\mu_n $ by $\mu_n ({x}) = \frac{1}{n} $ for $x = 0, \frac{1}{n}, \frac{2}{n}, ..., 1-\frac{1}{n} $. Let $\eta$ be a Lebesgue measure on $[0,1]$. i) I'm to compute ...
3
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1answer
114 views

Find characteristic function of random variable

Let random variables $X, Y, Z$ independent. $X$ with uniform distribution on $[-a,a]$, $Y$ with Poisson distribution with parameter $ν$, $Z$ with Bernoulli distribution with parameter $p$. Find the ...
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1answer
20 views

Characteristic function of an unkown sum of random variables

$X_1,X_2,...\sim Pois(7), $ and independent random variables. $Y \sim Geom(1/4)$ independent from the $X_i$. My question is the characteristic function of: $X_1+X_2+...+X_Y$ Can someone tell me ...
2
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0answers
28 views

Invert a somewhat tricky characteristic function to find density function

I am interested in find the probability density function corresponding to the characteristic function $\phi(t) = \left(\frac{1 - i b t}{1 - i t}\right)^c$ where $c > 1$ and and $0< b < 1$. ...
2
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1answer
88 views

the meaning of bound of characteristic function in the neighborhood of zero

Let $\{X_n: n=1,2,\ldots\}$ be a sequence of integrable random variables. Let $\{\phi_n: n=1,2,\ldots\}$ be the corresponding characteristic functions. Suppose that we have $$ |1-\phi_n(t)|\leq A ...
2
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1answer
47 views

Showing that the indicator/characteristic function is not a regulated function

I want to show that the indicator function (aka. the characteristic function) is not a regulated function. \begin{align} \chi : \begin{cases}[a,b] & \longrightarrow \mathbb{R} \\ x & ...
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1answer
31 views

Expression for characteristic function of a truncated RV

Let $\langle\Omega,\mathscr{F},\mathbb{P}\rangle$ be a probability space, let $X$ be a random variable defined thereon with density $f$ and $\phi$ be its characteristic function. Then if $A \in ...
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0answers
54 views

Does $|f\sin (x)|$ integrable on $\mathbb{R}$ imply that $|f|$ integrable on $\mathbb{R}$?

I guess not. Because we usually require $|f|$ to be integrable on ℝ so that it has the fourier transform. Can anyone give me an counterexample for the statement in the title? I have searched for ...
2
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1answer
42 views

Finite limit involving characteristic function implies values of first and second moments

If $$\lim_{c \to 0} \frac{\phi_X(c) - 1}{c^2} = -\frac{\sigma^2}{2} < \infty$$ where $\phi_X(c)$ is the characteristic function of the random variable $X$, then $$E[X] = 0,\qquad E[X^2] = ...
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2answers
82 views

Proving that $\chi_{T^*}=\overline{\chi_T}$ and $m_{T^*}=\overline{m_T}$ (characteristic and minimal polynomials of adjoint map)?

For a linear map $T:V\to V$ where $V$ is a finite dimensional inner product space over $\mathbb{C}$, I know the result $\chi_{T^*}=\overline{\chi_T}$ (where $T^*$ is the adjoint map for $T$). My ...
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1answer
62 views

characteristic function upper bound and uniformly continuous.

Let $X$ be a random variable and let $\phi$ be its characteristic function. Let $A$ be a nonnegative constant and consider the following inequality $$ |\phi(t)-\phi(s)| \leq \sqrt{A|1-\phi(t-s)|}. $$ ...
2
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0answers
72 views

If $X_1,X_2,X$ are iid random variables with $X_1+X_2$ has the distribution of $aX$, find all characteristic functions of $X$.

If $X_1,X_2,X$ are iid random variables with $X_1+X_2$ have the same distribution as $aX$ for some real $a$, what are the possible characteristic functions of $X$? Let $\varphi_X(t)$ be ...
0
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1answer
38 views

Integral from $e^{-itx}$ over $\mathbb R$

As a part of my task considering characteristic functions I have to compute $\int_{\mathbb R} e^{-itx}dx$ The result i get is $\frac{1}{-it}e^{-itx}|^{\infty}_{-\infty}$, but I don't really know ...
4
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1answer
41 views

Is $ \frac{2}{1+e^{t^2}} $ a characteristic function?

I'm trying to establish whether the following is a characteristic function of some random variable: $$ \phi(t) = \frac{2}{1+ e^{t^2}} .$$ It satisfies all basic characteristic function properties, ...
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0answers
44 views

Characteristic functions and conditional distributions?

Say X and Y are random variables and we're interested in the conditional distribution of X given Y, can we make this calculation using only characteristic functions in a straightforward manner? If so ...
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0answers
56 views

An inequality with a characteristic function

It's my first question here, hi. In fact, it derives from my probability theory homework, which appears to be unusually difficult (or I just don't see something): Suppose $X$ is a real valued random ...
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0answers
18 views

Probability - Characterizing goodness of moment matching method.

I have a question about how to characterize the goodness of approximating a distribution using its moments. Suppose I have a probability density function $p(x)$ (e.g., normal distribution), and I am ...
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1answer
59 views

Dealing with Partial Differential Equations and Burger's equation

The problem is: consider Burger's equation, $$u_t +uu_x = 0 $$ $$ u(x,0) = f(x) $$ Where $$f(x) = \begin{cases} 1 - |x-2| &\mbox{if}\,\, 1\leq x \leq3, \\ 0 ...
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3answers
34 views

Characteristic function of a square of normally distributed RV

Let's assume that $ X \sim \mathcal{N}(0,1) $. I'm supposed to compute the characteristic function of $ X^2 $. As far as I got is that the density of $ X^2 $ is $ g(y) = \frac{1}{2\sqrt{2\pi}} ...
2
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1answer
63 views

Characteristic function of a product of random variables

I am facing the following problem. Let $X,Y$ be independent random variables with standard normal distribution. Find the characteristic function of a variable $ XY $. I have found some information, ...
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1answer
45 views

Is $\gamma(t)=\cos^2(t)$ a characteristic function?

Is $\gamma(t)=\cos^2(t)$ a characteristic function? I don't know how can I show that $\gamma(t)=\cos^2(t)$ is a positive function.
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0answers
10 views

Differences between the a.e continuous of function $\in \mathbb{R}^n$ in the sense of Peano Jordan and Lebesgue

Proves or disproves: (A) The indicator function $\chi_S$ of a bounded set $S \in \mathbb{R}^n$ is almost everywhere continuous in the sense of Peano Jordan $\Leftrightarrow$ is almost everywhere ...
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0answers
30 views

Solution to this non linear Equation

Hi all I have this equation $$ (y-\beta+2\beta e^{yd})(y+\beta -2 \beta e^{-yd})+\beta^2=0 $$ Solving for y, I have been told that the solution is y = 0 repeated roots. I can see why (from ...
2
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3answers
34 views

Symmetric Distribution of Random Variable

Prove: Let $X$ and $Y$ be random variables with the same distribution. If $X$ and $Y$ take only two values​​, then $X - Y$ are symmetrically distributed around zero. Note: 1 - You can use ...
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1answer
75 views

uniform convergence of characteristic functions

Assume that a sequence of probability measures $\mu_n$ converges weakly to $\mu$. Let $\phi_n$ and $\phi$ denote respetively the characteristic function of $\mu_n$ and $\mu$. Prove that $\phi_n$ ...
0
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1answer
35 views

characteristic function differentiation

Let $\mu$ be a probability measure on $\mathbb{R}$. Then the characteristic function is: $$ \varphi: \mathbb{R} \rightarrow \mathbb{C} \;\;\ \varphi(t):=i\int_\mathbb{R} e^{itx}d\mu(x) $$ Prove with ...
2
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1answer
31 views

Imaginary solutions of a recurrence relation

How to solve this recurrence relation using characteristic equation and imaginary numbers? We have $a_0 = 0$ and $a_1 = 1$ , and for all $j\in\mathbb N$: $$a_{j+2} = 6a_{j+1} - 10a_j$$ I would ...
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3answers
48 views

Solve recurrence relation problem

This is a recursion problem that I am stuck at. I need to use the characteristic equation. Let $a_0, a_1, a_2, . . .$ be defined by $a_0 = 5, a_1 = 0$, and $a_{n+2} = a_{n+1} + 6a_n$ for $n \ge 0$. ...
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0answers
31 views

Characteristic function of truncated Cauchy distribution

Truncated Cauchy distribution (with a symmetric truncation $-X\le x\le X$) has the density $$f(x)=\frac{1}{2\arctan(X)}\frac{1}{1+x^2}$$ What is the characteristic function of this r.v.? Thank's! ...
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0answers
31 views

recognize the distribution corresponding to this characteristic function

The characteristic function of a random variable $X$ is given as $$\frac{3+\cos(t)+\cos(2t)}{5}; $$ what is the distribution of $X$? I was thinking of the discrete random variable $X=0,1,2$ with mass ...
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0answers
24 views

Transform Characteristic Function to distribution Function

I was wondering how we can calculate the distribution function of this characteristic function, $$C(t)= \frac{3+\cos t + \cos2t}{3}$$
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0answers
18 views

Order Statistics interval sizes

Suppose an i.i.d. sample of size $n \geq 2$ drawn from a known distribution with density $g$. Let us note the associated order statistics as $(X_{(1)}, \ldots ,X_{(n)})$. I am interested in the number ...