Chapter

Characteristic Functions

James Davidson

in Stochastic Limit Theory

Published in print October 1994 | ISBN: 9780198774037
Published online November 2003 | e-ISBN: 9780191596117 | DOI: http://dx.doi.org/10.1093/0198774036.003.0011

Series: Advanced Texts in Econometrics

 Characteristic Functions

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This chapter begins with a look at convolutions and the distribution of sums of random variables. It briefly surveys complex number theory before defining the characteristic function and studying its properties, with a range of examples. Then, the important inversion theorem is treated, and consideration given to characteristic functions of conditional distributions.

Keywords: characteristic function; complex number; conditional characteristic function; convolution; inversion theorem; moment generating function; random sum

Chapter.  6643 words. 

Subjects: Econometrics and Mathematical Economics

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