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0answers
24 views

Intuition about generating functions

I am trying to gain some intuition about moment generating functions. In particular, for a random variable $X$, we have $$ \newcommand{\E}[1]{\mathbf{E}\!\left[#1\right]} M_X(t) = \E{e^{Xt}} = ...
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0answers
42 views

Covariance between real and imaginary parts of Fourier transform of a stationary time series

Since Fourier transform of a random stationary time series(in the case of existence) is not necessarily real, my question is what is the relation between the covariance of real and imaginary parts of ...
2
votes
1answer
41 views

Levy processes, vanilla option and Fourier Transform

The context to this problem is mathematical finance, although the answer does not need specific knowledge of the area. I am trying to work out the expression for the price of a call option using Levy ...
0
votes
1answer
40 views

Characteristic function of logarithm of random variable

If I know the characteristic function $\phi_X(t)$ of a random variable $X>0$, how can I write the characteristic function $\phi_Y(t)$ of $Y=\log(X)$? I know that $\phi_X(t)=E[e^{itX}]$ and ...
1
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0answers
17 views

Rolling $n$ times with an $m$-sided dice. Closed, finite formula for the distribution of the sum? [duplicate]

My current idea is the following: practically we want to get the distribution of the sum of $n$-times of a discrete uniform distribution between $1,...,m$ . It is practically the discrete convolution ...
2
votes
1answer
42 views

If the Fourier transform of a probability measure goes to zero at infinity, can the measure have a point mass?

Let $\mu$ be a probability measure on $\mathbb{R}$. Is the following implication true? $$ \widehat{\mu}(y) \rightarrow 0 \text{ as } |y| \rightarrow \infty \quad \Rightarrow \quad \mu(\{x\})=0 \quad ...
1
vote
1answer
63 views

Characteristic Function Inversion

I am studying the relationship / bijection between characteristic functions and CDFs. In particular, given a characteristic function $\phi$ it is posible to recover the cumulative density function ...
0
votes
0answers
51 views

Possible values of characteristic functions (Fourier transforms)

Can a characteristic function $\varphi_{X}(u)$ from probability theory (the Fourier transform of a probability measure) ever equal zero for either any value of $x$ or any value of $u$? This has been ...
2
votes
1answer
69 views

How to model a stochastic process, continuous in stepsize, which converges against a simple random walk?

I want to compute the probability distribution for a stochastic process with discrete number of steps, where each real value has a nonvanishing probability to be the next stepsize. And I want to ...
2
votes
0answers
88 views

Quantifying the “flatness” of functions which are the Fourier transforms of positive functions

I have a question which I admit is a little cumbersome for me to try to state succinctly, and which I fear may not have a simple answer, but I figured I'd give it a shot. In broad terms, I'm trying to ...
2
votes
1answer
72 views

Sum of Independent Variables = Uniform?

Is there a probability density (or measure), such that the sum of two such independent random variables is distributed uniform? In other words, what is the Inverse Fourier Transform of the ...
2
votes
1answer
42 views

Finding $E(X^r\mid Y)$ of an exponential function

Let $(X,Y)$ denote a two-dimensional random vector with an absolutely continuous distribution with density function $$p(x,y) = \frac{1}{y}\exp(-y), \qquad 0 < x < y < \infty.$$ Find ...
1
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1answer
106 views

Lower bound of Fourier transform

We know the Fourier transform of the Gauss-function: $\displaystyle\int_{\xi\in\mathbb{R}^d}e^{-\pi\, C\,|\xi|^2}e^{2\pi i \xi\cdot X}d\xi=C^{-d/2}e^{-\, \pi\, |X|^2/2}$ for any $C>0$. Then ...
0
votes
0answers
70 views

Intregral of exponential of Shannon Entropy Function

Here I am going to ask a similar question as rde asked , that is what is the integral of exponential of entropy function. That is what is the value of $F[H(x)]=\int_{-1}^{+1} e^{ikH(f(x^2))} dx$ ...
2
votes
2answers
90 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} ...
2
votes
0answers
189 views

Upper bound on truncation error of a fourier series approximation of a pdf?

Given a probability density function, $f\left(x\right)$, of a continuous random variable, $X$, and given an $N$-th order fourier series approximation: $$f_N\left(x\right)=\sum_{n=-N}^{N}c_n e^{inx}$$ ...
3
votes
2answers
332 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 ...
1
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3answers
294 views

Is this function - characteristic function of a random variable?

$\phi(t)= \begin{cases} 1,&\text{if $|x|< 1$;}\\ e^{-(|x|-1)^2} ,&\text{if $|x|\geq1$.} \end{cases} $ Can anyone help?
5
votes
1answer
255 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 ...
0
votes
1answer
83 views

Expressing the cantor function on $[0,1]$ as a function on $\text{Ternary}([0,1])$

I would to link the simple function and probabilistic approach for the calculation of the Fourier transform of the Cantor function. Let $f:[0,1] \to [0,1]$ be the Cantor function. In the simple ...
2
votes
1answer
66 views

Probabilistic calulation of the Fourier transform of the Cantor function

This is on the same theme as in this post, where the Fourier transform was derived using simple function. Let $f:[0,1] \to [0,1]$ be the Cantor function. Then $f$ is the cumulative distribution of ...
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2answers
118 views

using central limit theorem

I recently got a tute question which I don't know how to proceed with and I believe that the tutor won't provide solution... The question is Pick a real number randomly (according to the uniform ...
2
votes
2answers
168 views

Inequality regarding difference of characteristic functions

We want to show if $X, Y$ are random variables defined on a common probability space, with characteristic functions $f, g$ respectively, then the following inequality is valid: $$\sup |f(x)-g(x)| \le ...
0
votes
1answer
510 views

How to use joint characteristic function to calculate characteristic function for single variables? [duplicate]

Possible Duplicate: probability question on characteristic function It is a problem in my practice exam. Defined on some common probability space, two random variables $X$, $Y$ have the ...
3
votes
2answers
157 views

Inverse Fourier transform of $\varphi(t) = \exp\left(\int_0 ^ 1 \frac{e^{itx} - 1}{x} \right)$?

I'm looking for the distribution whose Fourier transform is given by $$\varphi(t) = \exp\left(\int_0 ^ 1 \frac{e^{itx} - 1}{x} \right),$$ where as usual $\varphi(t) = \int_{- \infty} ^ \infty e^{itx} ...
2
votes
0answers
118 views

Singular measures - approximate characteristic function

One can decompose a $\sigma$-finite measure $\mu$ on $\mathbb{R}$ in three parts: $\mu_{ac}$: absolutely continuous $\mu_{sc}$: singular continuous $\mu_{pp}$: pure point A common example for a ...
2
votes
2answers
233 views

An example of a “pathological” power-spectral density function?

Suppose that we are given a wide-sense stationary random process $X$ with autocorrelation function $R_X(t)$. Power spectral density $S_X(f)$ of $X$ is then given by the Fourier transform of $R_X(t)$, ...
4
votes
2answers
290 views

Continuity of the Characteristic Function of a RV

Defining the Characteristic Function $ \quad \phi(t) := \mathbb{E} \left[ e^{itx} \right] $ for a random variable with distribution function $F(x)$ in order to show it is uniformly continuous I say ...
1
vote
2answers
359 views

Problem concerning continuous probability distribution

How do you prove that the real part of the characteristic function of the continuous probability distribution $f(x)$ is a characteristic function, but the imaginary part is not? The second part is ...
5
votes
1answer
398 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, ...
2
votes
1answer
120 views

To make Random Variables using characteristic functions

I know the result that says "There is a bijection between distribution functions and characteristic functions". So I was wondering if there are necessary or sufficient conditions on the ...
1
vote
1answer
567 views

How to perform deterministic deconvolution?

Here is my problem: I have a random variable $A$ that is the sum of independent random variables $B$ and $C$, i.e. $A=B+C$. All three random variables are on the real domain. $B$ is a Gaussian with ...
0
votes
1answer
682 views

Characteristic function: fourier transform of probability measure or density?

In many texts charecteristic function is defined as a Fourier transform of probability density (if random variable admits a density function). Also we can define a charecteristic function as Fourier ...