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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8
votes
2answers
159 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
1k 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 $\mathbb{E}[e^{uX+vY}] = \mathbb{E}[e^{uX}]\mathbb{E}[e^{vY}]$ ...
7
votes
1answer
578 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
355 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 ...
6
votes
1answer
314 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
65 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
979 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
407 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
229 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 ...
4
votes
3answers
1k 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
91 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
1k 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.
4
votes
1answer
56 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
595 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
341 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) ...
4
votes
1answer
688 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
1answer
102 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
71 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
107 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
3k 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
2answers
1k 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 ...
3
votes
1answer
167 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
61 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 ...
3
votes
2answers
37 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
1answer
59 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
1answer
270 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 ...
3
votes
2answers
5k 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 ...
3
votes
1answer
40 views

Computing Conditional Characteristic Function

I am trying to compute the characteristic function of the following: Let $X$ and $Y$ be random variables such that $Y\mid X = x\sim N(0, x)$ with $X\sim\mathrm{Po}(\lambda)$. Find the characteristic ...
3
votes
1answer
65 views

Can anything be learned about a probability distribution *directly* from its characteristic function?

Some preliminaries: I know that one can take the inverse Fourier transform to get back the pdf...that is not what I am after. My question is whether the characteristic function, qua function, tells us ...
3
votes
1answer
295 views

Exercise on Conditional Expectation of Jointly Gaussian Random Variables

I am trying to solve the following exercise from my professor's notes on conditional expectation: Let $x: \Omega \rightarrow \mathbb{R}^n$, $x \in G(0, Q_x)$, $Q_x = Q_x^T>0$, $y: \Omega ...
3
votes
2answers
445 views

Characteristic function for positive part of random variables

I need your help in solving the following problem: I have to calculate the characteristic function for the positive side of a random variable - simplest case: let $Y$ be standard normal and $Y^+ =\max ...
3
votes
1answer
64 views

Solving $u_t+u^2u_x=0$

I'm trying to solve the initial value problem with characteristis.: $$ u_t+u^2\cdot u_x=0\quad,\quad u(0,x)=f(x) $$ Where $u$ is a neat function with suitable requirements on its domain and its ...
3
votes
1answer
139 views

If $X_n = Y_n + Z_n$ in distribution, and $X_n$ and $Y_n$ converge in distribution, does $Z_n$?

The random variables take values in $\mathbb{R}^d$. I have tried to prove this using characteristic functions. Let $\hat{\mu}_{X_n},\hat{\mu}_{Y_n},\hat{\mu}_{Z_n}$ be the characteristic functions of ...
3
votes
1answer
88 views

Stable law and Levy distribution

A PDF (probability density function) f(x) is called a stable law if $f(y)=b\int_{-\infty}^{\infty}dx f(by-x)f(x)$ under appropriate values of b. Rewrite this equation in terms of characteristic ...
3
votes
0answers
76 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 ...
3
votes
1answer
129 views

Characteristic function under risk neutral measure

I am trying to derive a characteristic function (in Levy-Khintchine form) of a compound Poisson process $X_T$ under a risk neutral measure $\mathbb{Q}$, using the Esscher transfrom to change the ...
3
votes
1answer
82 views

the density of the sum of $n$ random variables with uniform distribution on $(-1,1)$

Let $X_n$ be an iid sequence of random variable with uniform distribution on $(-1,1)$. Using characteristic functions prove that $X_1+X_2+...+X_n$ has density $$f(x)= \frac{1}{\pi} ...
3
votes
0answers
338 views

Why the probability characteristic function is always exist but moment generation function is not always exist?

I know that the characteristic function is always exist and moment generation function is not always exist instantly but don't know exactly mathematically.
3
votes
0answers
105 views

Integral of the Normal Characteristic Function

The characteristic function of the $N$-variate Normal distribution is $$\forall \mathbf{t} \in \mathbb{R}^N \quad \psi(\mathbf{t}) \equiv \mathbb{E}\left( e^{i\mathbf{t}X}\right) = \exp \left( i{ ...
3
votes
0answers
490 views

Distribution of the sum of iid Beta-Negative-Binomial random variables

I am facing a problem when trying to calculate the distribution of the sum of iid Beta-Negative-Binomial random variables or for that matter if only parameter $r$ is different. To get a hint to how ...
2
votes
2answers
145 views

Characteristic function of $p(x) = \frac{1}{2} e^{-|x|}$, $-\infty < x < \infty$

Let X denote a real-valued random variable with an absolutely continuous distribution with density function $p(x) = \frac{1}{2} e^{-|x|}$, $-\infty < x < \infty$. Find the characteristic ...
2
votes
3answers
42 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 ...
2
votes
1answer
331 views

Convergence of characteristic functions to $1$ on a neighborhood of $0$ and weak convergence

Prove the following statement: $ X_n \Rightarrow 0 $ (convergence in distribution) if and only if $ (\exists\; \epsilon>0: |t|<\epsilon) \;\; \phi_n(t) \rightarrow 1 $, where $\phi_n(t)$ is ...
2
votes
2answers
62 views

Evaluate $\int_{-\infty}^{\infty} \chi_{[0,1]}(x-y) \chi_{[0,1]}(y) \, \mathrm{d}y$

I'm trying to evaluate the integral $$\int_{-\infty}^{\infty} \chi_{[0,1]}(x-y) \chi_{[0,1]}(y) \, \mathrm{d}y$$ where $\chi_{[0,1]}(x)=1$ is the characteristic function, i.e. equals $1$ for $x \in ...
2
votes
1answer
136 views

A linear combination of characteristic functions is a characteristic function?

Let $\phi_k(t)$ be the characteristic function of a random variable $X_k$, $k = 1,2,\dots$. Consider a set of positive real numbers $\{p_1, p_2, \dots \}$, take a function: $$\phi(t) = ...
2
votes
3answers
58 views

What is the set with characteristic function $\chi_A(x) + \chi_B(x)-\chi_A(x)\chi_B(x)$?

Suppose that $A$ and $B$ are subsets of $X$ Find the subset $C$ whose characteristic function is given by: $\chi_C(x)=\chi_A(x) + \chi_B(x)-\chi_A(x)\chi_B(x)$ The answer given is ...
2
votes
1answer
102 views

Prove that $ \mathsf{E}[g(X)] = \int_{- \infty}^{\infty} G(t) \varphi(t) \, d{t} $.

Problem Let $ X $ be a real-valued random variable with characteristic function $ \varphi $. Suppose that $ g: \mathbb{R} \to \mathbb{R} $ satisfies $$ \forall x \in \mathbb{R}: \quad g(x) = ...
2
votes
2answers
952 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 ...
2
votes
2answers
304 views

How do you invert a characteristic function, when integral does not converge?

I need to find the probability density of some distribution with characteristic function given by: $$\frac{1}{9} + \frac{4}{9} e^{iw} + \frac{4}{9} e^{2iw}$$ I know the formula for inverting a ...
2
votes
1answer
50 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 ...