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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17
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1answer
7k views

Characteristic function of a standard normal random variable

The characteristic function of a random variable X is given by $$\Phi_X(\omega) = \mathbb{E}e^{j\omega X}=\int_{-\infty}^\infty e^{j\omega x}f_X(x) dx.$$ One can easily capture the similarity between ...
13
votes
1answer
3k views

The partial expectation $\mathbb{E}(X;_{X>K})$ for an alpha-stable distributed random variable

The partial expectation $\mathbb{E}(X;_{X>K})$ for an alpha-stable distributed random variable: By playing with convolutions of Characteristic Functions of alpha-Stable distributions $S(\alpha, \...
10
votes
1answer
2k views

Moment generating functions/ Characteristic functions of $X,Y$ factor implies $X,Y$ independent.

This is solely a reference request. I have heard a few versions of the following theorem: If the joint moment generating function $\mathbb{E}[e^{uX+vY}] = \mathbb{E}[e^{uX}]\mathbb{E}[e^{vY}]$ ...
8
votes
2answers
209 views

Does “independence” of moments imply independence?

Suppse you have two random variables $X,Y$ and you are given that for any $m,n$ that: $$E(X^n Y^m) = E(X^n)E(Y^m)$$ Does this imply that $X$ and $Y$ are independent? Are there some condtions on how ...
7
votes
1answer
761 views

For symmetric stable distributions, why is $\alpha \le 2$?

I'm preparing a lecture on stable distributions, and I'm trying to find a simple explanation of the following fact. Suppose we are trying to come up with stable distributions. From the definition, ...
7
votes
1answer
599 views

Laplace transform of a random variable

My professor says that the Laplace transform of a nonnegative RV uniquely determines the RV up to distributional equality among all nonnegative RVs. He says one can argue this by appealing to a fact ...
7
votes
1answer
71 views

How to show the following characteristic function is positive definite

Let $\phi$ is the characteristic function of a probability measure on $\mathbb{R}$, how can I prove $\sum_{i,j=1}^{n}{\phi(t_i-t_j)\bar{\phi}(t_i-t_j)\xi_i\bar{\xi_j}}\geq 0$ for all $n\in\mathbb{N}$, ...
7
votes
0answers
70 views

A random variable is symmetric if and only if its characteristic function is real-valued

Quick summary: I am stuck on the implication: $\phi_X$ real-valued $\rightarrow$ $X$ symmetric. Assume you have a probability space $(\Omega, \mathcal{F},P)$, and a random varaiable $X: \Omega \...
6
votes
1answer
452 views

Continuous probability distribution with no first moment but the characteristic function is differentiable

I am looking for an example of a continuous distribution function where the first moment does not exist but the characteristic function is differentiable everywhere. Cauchy distributions do not ...
6
votes
1answer
80 views

Why is $\int e^{itx}\, d\mathbb{P}_X=\mathbb{E}(e^{itX})$?

In our reading we first defined the characteristical function of a probability mesaure as follows: Let $\mu$ be a probability measure on $(\mathbb{R},\mathcal{B})$. The Fourier transform $\...
5
votes
2answers
1k views

Combinations of characteristic functions: $\alpha\phi_1+(1-\alpha)\phi_2$

Suppose we are given two characteristic functions: $\phi_1,\phi_2$ and I want to take a weighted average of them as below: $\alpha\phi_1+(1-\alpha)\phi_2$ for any $\alpha\in [0,1]$ Can it be proven ...
5
votes
1answer
2k views

How to get PDF from characteristic function

I would appreciate if anybody could explain to me with a simple example how to find PDF of a random variable from its characteristic function. Thank you.
5
votes
1answer
88 views

Tensor product for vector bundles is commutative, associative, and has an identity element?

How do I see that the tensor product operation for vector bundles over a fixed base space is commutative, associative, and has an identity element?
5
votes
2answers
8k views

Characteristic function of exponential and geometric distributions

I'm trying to derive the characteristic function for exponential distribution and geometric distribution. Can you guide me on getting them? Here is my solution so far: Exponential Dist ...
5
votes
1answer
81 views

A sum of a random number of Poisson random variables

in my probability class I was given this question on which I am stuck concerning a sum of random number of Poisson random variables: Let us define the countable set of independent random variables ...
5
votes
1answer
565 views

Determining if something is a characteristic function

Suppose $X$ is a continuous random variable with pdf $f_X(x)$. We can compute its characteristic function as $\varphi_X(t)=\mathbb{E}[e^{itX}].$ Question: Given a function, say $\psi(t)$, how does ...
5
votes
1answer
396 views

Conditions on Poisson random variables to convergence in probability

Let $X_1,X_2,...$ denote iid random variables such that $X_j$ has a Poisson distribution with mean $\lambda t_j$ where $\lambda$ > 0 and $t_1, t_2,...$are known positive constants. a)Find conditions ...
5
votes
1answer
427 views

Combinations of i.i.d Inverse Chi-Square RVs and their characteristic functions

I am working on a few self-study problems in probability/measure theory and am stuck on characteristic functions. I have the following problem: Given: $X_1,\ldots,X_n$ are iid inverse chi-square(1) ...
5
votes
0answers
69 views

Properties of characteristic functions under statistical dependence

Given random variables $X,Y,Z$,and $\phi(.)$ denoting the characteristic function, I can see that the following is true when $Z$ is independent of $X,Y$: $|\phi_{X+Z,Y} (t, s) − \phi_{X+Z}(t)f_{Y} (s)|...
4
votes
2answers
2k views

A criterion for independence based on Characteristic function

Let $X$ and $Y$ be real-valued random variables defined on the same space. Let's use $\phi_X$ to denote the characteristic function of $X$. If $\phi_{X+Y}=\phi_X\phi_Y$ then must $X$ and $Y$ be ...
4
votes
3answers
2k views

Is it a characteristic function?

Can anyone explain how I can prove that either $\phi(t) = |\cos (t)|$ is characteristic function or not? And which random variable has this characteristic function? Thanks in advance.
4
votes
1answer
42 views

Can I always decompose a random variable in sum of iid random variables?

Let $Z$ be a random variable. Can I always find a number $n \in \mathbb N > 1$, weights $w_i \neq 0$, and iid random variables $X_i$ such that $$Z = w_1X_1 + \dots + w_n X_n$$? Conversely, if I ...
4
votes
1answer
112 views

Is there any short proof of this classical problem?

Let $X,Y$ be two i.i.d. r.v.'s with zero mean and unit variance. If $X+Y$ and $X-Y$ are independent, then $X$ and $Y$ are both standard normal distributed. Is there any short proof for this problem?
4
votes
1answer
74 views

How to calculate $\int_0^1\cdots\int_0^1\frac{1}{x_1+x_2+\cdots+x_n+1}dx_1\cdots dx_n$

I met an integral $$\int_0^1\cdots\int_0^1\frac{1}{x_1+x_2+\cdots+x_n+1}dx_1\cdots dx_n$$ I calculated $n=1,2,3$ and made an induction! then i got the result: $$\frac{1}{(n-1)!}\sum_{k=1}^{n}(-1)^{n-...
4
votes
1answer
92 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, ...
4
votes
1answer
739 views

Primitive recursive functions and characteristic functions. Methods of proof- examples. Illumination.

I am puzzling over a sentence in an example in a textbook, showing that a function $f$, defined by cases, is primitive recursive. Let $E$ be the set of even natural numbers. The function $f$ defined ...
4
votes
1answer
777 views

Characteristic functions based proof problem.

I am trying to show that if $T$ be a closed bounded interval and $E$ a measurable subset of $T$. Let $\epsilon >0$, then there is a step function $h$ on $T$ and a measurable subset $F$ of $T$ for ...
4
votes
0answers
42 views

Finding the odometer function of an abelian sandpile

As a computer scientist and "armchair" mathematician, I'm trying to replicate the images found here of Abelian sandpiles on a square lattice, where the initial configuration is $n$ chips on a single ...
4
votes
0answers
56 views

Exsistence of random variable $U[-1,1]$

I have problems with the following question: Let X be the random variable such that $X\sim U[-1,1]$. Does there exsist a random variable Y, independent to X, such that $X+Y\sim 2Y$? I thought that ...
4
votes
0answers
123 views

Moment generation function -> characteristic function uniqueness

Here's my proof that moment generation function (if exists) uniquely determines characteristic function. Can you please see how to make it more rigorous or improve in either way (e.g. by citing ...
4
votes
0answers
61 views

Holomorphic extensions of characteristic functions

Let $\chi(\xi) := \mathbb{E}e^{i \xi X}$, $\xi \in \mathbb{R}^d$, be the characteristic function of a random variable $X$. It is widely known that $\chi$ admits a holomorphic extension to the strip $\{...
4
votes
0answers
79 views

Uniform convergence of characteristic functions implies uniform convergence of distribution

Let $F(x)$ and $(F_{n})_{n\geq 1}$ be some distribution functions and let $\varphi(t)$ and $(\varphi_{n})_{n\geq 1}$ be their respective characteristic functions. I am trying to show that if: $\sup_t ...
4
votes
1answer
107 views

Show $\int_{-\infty}^{\infty}\,f(u,t)dG(u)$ is a ch.f. where $G$ is a d.f. ; $f(u,\cdot)$ is a ch.f. and $f(\cdot,t)$ is continuous.

Show $$\int_{-\infty}^{\infty}\,f(u,t)dG(u)$$ is a ch.f. where $G$ is a d.f. ; and $f(u,\cdot)$ is a ch.f. for each $u$ and $f(\cdot,t)$is continuous for each $t$. Note that ch.f. means "...
4
votes
1answer
77 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 ...
4
votes
0answers
133 views

A Fibonacci like Stochastic process

Let $X_0, X_1$ and $\{a_n,n\geq0\}$ are i.i.d. $\sim $Bernoulli$(1/2)$ taking values in $\{0,2\}$. Let us define $X_n$ for $n>1$ as below$$X_{n+1}=a_nX_n+a_{n-1}X_{n-1},\ n\geq1 $$ Then it follows ...
4
votes
0answers
2k views

Continuity of a Characteristic function

Let $A$ be a subset of $\mathbb{R}^n$. Show that the characteristic function $\chi_A$ is continuous on the interior of $A$ and on $A^c$ but discontinuous on the boundary of $A$. My attempt: Suppose ...
4
votes
0answers
5k views

Characteristic functions of random variables (Poisson, Gamma, etc.)

My self-study in measure and probability theory as finally brought me to the subject of characteristic functions, and I have not handled these in the past with any rigor at all, so all of this is ...
3
votes
1answer
55 views

Characteristic functions of random variables are non-negative definite

Let $(\Omega, \mathcal{F}, P)$ be a probability space and $X:\Omega\to\mathbb{R}$ a random variable. How to prove that the characteristic function $\varphi_X(t) = E[e^{itX}] =\int_{\Omega}e^{itX(\...
3
votes
1answer
227 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 ...
3
votes
1answer
65 views

$\sum_{k\ge 0} e^{-an} \frac{(an)^k}{k!}f(\frac{k}{n}) = \Bbb{E}\left(f\left(\dfrac{X_1+\cdots + X_n}{n}\right)\right)$

Hello everybody i need to show following equality $$\sum_{k\ge 0} e^{-an} \frac{(an)^k}{k!}f(\frac{k}{n}) = \Bbb{E}\left(f\left(\dfrac{X_1+\cdots + X_n}{n}\right)\right)$$ Where $(X_i)_i$ are i....
3
votes
1answer
52 views

Why is a characteristic function continuous at $0$?

My lecture notes say: $t \mapsto \exp(-t^2/2)$ is a characteristic function (of $\mathcal{N}(0,1)$), so it is clear that it is continuous at $0$. So why does "being a characteristic function" ...
3
votes
2answers
54 views

How to use Cayley-Hamiltonian theorem in proving upper bound on linear space $W$?

If $W = span(I,A,A^1,A^2, \dots)$. What is the upper bound on dimension of $W$? All matrices are $n \times n$. I know that the dim($W$) $\leq n$, by the Cayley-Hamiltonian theorem. However, I don't ...
3
votes
2answers
2k views

Step Function and Simple Functions

Definitions: Simple Function: Any functions that can written in the form:$$s(x)=\sum_{k=1}^na_n\chi_{A_n}(x).$$ Note the finite terms here. It should follow that neither all simple functions are ...
3
votes
2answers
54 views

Show that if $a_n(X_n-X) \overset{\mathcal{D}}\to Z$ then $X_n \overset{P}\to X$.

Let $(a_n)\subseteq \Bbb{R}$ be a sequence such that $a_n \to \infty$. Let $(X_n)$ be a sequence of random variables such that $a_n(X_n-X) \overset{\mathcal{D}}\to Z$ fore some random variables $X$ ...
3
votes
1answer
94 views

Show that $ Y/\sqrt{\lambda } \xrightarrow{d} N(0,1) $ as $ \lambda \rightarrow \infty $

Given that the characteristic function for Y is $$ \varphi_Y (t) = e^{\lambda (e^{-t^2/2}-1)} $$ Show that $$ Y/\sqrt{\lambda } \xrightarrow{d} N(0,1) $$ as $$ \lambda \rightarrow \infty $$ I've ...
3
votes
2answers
169 views

Uniqueness of distribution with moments $M_n$ if $\limsup_{n\to\infty} \frac{1}{n}\sqrt[n]{M_n}$ finite

There's a theorem which states that the moments, i.e. $M_n = \mathbb{E}\left(X^n\right)$, of a distribution uniquely identify the distribution if $$ R := \left(\limsup_{n\to\infty} \frac{1}{n}\sqrt[...
3
votes
1answer
340 views

Random variable with characteristic function $\large\frac{\phi(t)+\phi(-t)}{2}$ [duplicate]

Possible Duplicate: Combinations of characteristic functions: $\alpha\phi_1+(1-\alpha)\phi_2$ If $\phi(t)$ is the characteristic function of a random variable $X$, then $\Re(\phi(t))$ is also ...
3
votes
1answer
48 views

Help with understanding the proof for: $AB$ and $BA$ have the same characteristic polynomial (for square complex matrices)

I saw many proofs but they all use advanced techniques and are impossible to understand. I'm looking for a proof that $AB$ and $BA$ have the same characteristic polynomial for any square matrix over $\...
3
votes
2answers
125 views

Characteristic function with modulus 1 implies degenerate distribution

Let $X$ be a random variable with characteristic function $\phi(\ )$ satisfying $|\phi(t)|=1$ for all $|t|\leq 1/T$ with some $T>0$. Show that $X$ is degenerate, i.e., there is $c$ such that $P(X=c)...
3
votes
2answers
423 views

Find the elementary divisors of a matrix given its characteristic and minimal polynomials

This question comes from and old exam: Suppose the square rational matrix $A$ has characteristic and minimum polynomials $p_A(x) = x^6(x^2-2)^3(x^2+4)^2$ and $m_A(x) = x^2(x^2-2)(x^2+4)^2$ and $null A ...