Characteristic function of a sum of Uniform random variables Suppose I have $S=U_1+U_2+\dots+U_n$ where $U_i$ are distributed Uniform$[-1,1]$.
I am trying to show a couple of things. First, what is the characteristic function. I can show this easily enough for a single uniform RV, but for some reason the sum is not coming to me.
Second, does the inversion formula apply as long as $n\ge2$? and if so, how can I show this?
Finally, how can I use the inversion formula to show a real-valued integral for the density (i.e getting rid of the imaginary part of the characteristic function)?
I have worked through how to derive a single $U$, but these extensions escape me.
Many thanks for the help~
 A: The characteristic function is an expectation:
$$
    \varphi_S(t) = \mathbb{E}\left(\exp(i S t)\right) = \mathbb{E}\left(\exp\left(i \left(U_1 + U_2 + \cdots + U_n \right) t\right)\right)
$$
Now, if $U_i$ is independent, the expectation factors into product of expectations, because :
$$
    \varphi_S(t) = \mathbb{E}\left(\mathrm{e}^{i t U_1}\cdot \mathrm{e}^{i t U_2} \cdots \mathrm{e}^{i t U_n}\right) = \mathbb{E}\left(\mathrm{e}^{i t U_1} \right)\cdot  \mathbb{E}\left(\mathrm{e}^{i t U_2} \right) \cdots  \mathbb{E}\left(\mathrm{e}^{i t U_n}\right)
$$
Since $U_i$ have identical distributions, these expectations are the same, thus:
$$
   \varphi_S(t) = \left(\mathbb{E}\left(\mathrm{e}^{i t U} \right)\right)^n = \left( \frac{\sin(t)}{t}\right)^n
$$
According to the inversion formula, there is one-to-one correspondence between cumulative distribution function, and the characteristic function. Since $\varphi_S(t)$ is a characteristic function for all $n \in \mathbb{N}$ by construction, the inversion formula applies for all natural $n$. 
Moverover, if $\varphi_S(t)$ is integrable, then $F_S(x)$ is absolutely continuous, i.e. the notion of the probability density function is well-defined. Notice that $\varphi_S(t)$ is absolutely integrable for $n \geqslant 2$, by virtue of $|\varphi_S(t)| \leqslant \min\left(1, t^{-n}\right)$, and hence integrable. However, $\varphi_S(t)$ is also conditionally integrable for $n=1$ (the integral is known as Dirichlet integral).
Applying the inversion formula to obtain an explicit expression for the probability density is somewhat involved. This earlier post of mine contains the derivation. 
To conclude, let me remark, that the sum of iid uniform continuous random variable follows what is known as the Irwin-Hall distribution.
