Questions tagged [characteristic-function]
The characteristic-function tag has no usage guidance.
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Sampling from a distribution characterized by its characteristic function
Consider the following measure:
$$d\nu (x)=\mathbb 1_{(0,1)} (x) \frac 1 {x^{2}}$$
Now, define $X$ with characteristic function given by:
$$\varphi_{X}(t)= \exp\left\{ \int_{\mathbb R} [e^{itx}-1 - ...
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A problem of weak convergence of stochastic processes
Let $(X_1,X_2, ....)$ be a infinite sequence of random variables. Supoose that te sequence is strictly stationary. For all $n$, define the following infinite array:
$$
\begin{bmatrix}
Y_1 & Y_2 &...
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An MA model has MA characteristic polynomial $(1 − 1.4x + 0.3x^2 )(1 + 0.5x^{12})$, obtain the model [duplicate]
When the characteristic polynomial of a moving average s model is given as $(1 − 1.4x + 0.3x^2 )(1 + 0.5x^{12})$, how to obtain the MA model and then calculate the ACF of this model?
I am expecting ...
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If $X$ and $Y$ are independent random variables with $X+Y\stackrel{d}{=}X$, then show that $\mathbb P(Y=0)=1$ [closed]
Show that if $X$ and $Y$ are independent random variables with $X+Y\stackrel{d}{=}X$, then show that $\mathbb P(Y=0)=1$. Can the independence condition be dropped?
I could solve the first part using ...
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Name of a property of characteristic functions (Fourier transforms)
I'm a scientist but not a professional mathematician and in this question, I asked about a possible typographical error in an article on round-off error that I've been reading in the journal ...
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Inverting a characteristic function if the integral of the modulus of the cf is infinity
I'm reading a lecture slide that starts by asking if there's a way to invert a characteristic function $\psi_X$ if $\int|\psi_X(t)|~\mathrm{d}t = \infty$. From my reading, the slide then provides a ...
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Find mean and variance using characteristic function
Consider a random variable with characteristic function
$$
\phi(t)=\frac{3\sin(t)}{t^3}-\frac{3\cos(t)}{t^2}, \ \text{when} \ t \neq0
$$
How can I compute the $E(X)$ and $Var(X)$ by using this ...
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Two non-obviously identical random variables that can be shown to be identical via their characteristic functions
It is well known that a characteristic function (CF) is uniquely associated with a probability density function (PDF). Knowing this, I was nonetheless intrigued by a remark in a video I have been ...
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Show the Binomial distribution approaches a Normal distribution (using characteristic function)
Let $X_n = Bin(n,p)$. We fix $p$, and we want to show that as $n \to \infty$, $\frac{X_n-np}{\sqrt{np(1-p)}}$ converges to $N(0,1)$ in distribution. And I want to show this using characteristic ...
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Density from characteristic function: Durrett example 3.3.8 and 3.3.9
Letting $\varphi(t)$ be the characteristic function for the probability measure $\mu$, we know if $\int \left|\varphi(t)\right|dt < \infty$, then $\mu$ has density function
$$f(y) = \frac{1}{2\pi} \...
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Investigating the presence of unit root in the following $X_t$
I am given a model and need to calculate the unit-root of $X_t$ but it seems that there is no unit-root.
The model is given: $X_t = (x_{1t},x_{2t})'$
$$\Delta X_t = \alpha \beta ' X_{t-1} + \epsilon_t ...
user375678
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Find the characteristic function of a random variable involving a compoud poisson distribution
Let $\{\xi_i \}_{i=1}^{k}$ be a finite sequence of independent r.v. such that $\xi_{i} \sim F_i$.
For each $i$, let:
$\{\xi_{i,j}\}_{j=1}^{\infty}$ be a sequence of copies of $\xi_i$, that is: $\xi_{...
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Characteristic function of linearly transformed random variables with extracted factor
Given is a sequence of independent random variables $X_1, X_2,\ldots, X_n$ with characteristic function $\varphi_{X_i}(t)$.
The characteristic function of
$Y = \sum_{i=1}^n a_i X_i$,
where the $a_i$ ...
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How to calculate the covariance matrix in (Xu and Knight 2010)?
Setup
I'm reading (Xu and Knight 2010), which is a paper about estimating finite Gaussian mixture models using the CECF (Continuous Empirical Characteristic Function) method. The basic idea is to ...
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Stationarity of AR(2) model
I have one question, which is related to a solution presented in "A proof for the stationarity of an AR(2)" by Christoph Hanck. Since I still cannot write comments (I need at least 50 points)...
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Derivation of moment generating function for limiting distribution of sum of logbeta distributed variables
A sum of logbeta distributed variables occurs in this question Distribution with a given moment generating function
Let, $X_j \sim Beta(j\sigma, 1-\sigma)$, $Y_j = -\log(X_j)$ and $S_n = \sum_{j=1}^n ...
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Finding $\mathbb{E}|X|$ for variance-gamma random variable
Assume $X \sim f_{X}(n,\mu, \sigma)$ is a Variance-Gamma random variable. The density function involves a modified Bessel function, therefore is not that trivial to handle.
I'm looking for $\mathbb{E}|...
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characteristic function of standard lognormal distribution
What is the characteristic function of standard lognormal distribution? By "$X$ yields the standard lognormal distribution", I mean $\log(X)\sim N(0,1)$.
I understand that the moments of $X$ ...
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Characteristic Function and Quantile Function?
Characteristic functions (cf) are closely related to cdfs and pdfs of random variables, for example
cf is the Fourier transform of the pdf
Inversion formulae from Lévy and Gil-Pelaez
Question: Is ...
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tails from cumulant generating function
I am trying to obtain finite-sample tail estimates using the mgf. I found a snippet in a google books preview of a formula giving the survivor function by some kind of inversion of the cumulant ...
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$lim_{n→∞}P((/1√n)\sum\limits_{i=1}^n(−1)^{i}X_{i}\leq$x) equals?
Let X1, X2, . . . be a sequence of i.i.d. random variables with variance 2.
Then for all x,
$lim_{n→∞}P((/1√n)\sum\limits_{i=1}^n(−1)^{i}X_{i}\leq$x)
equals
$(A) Φ(x√2)$
$(B) Φ(x/√2)$
$(C) Φ(x)$
$(D) ...
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Characteristic function and Fourier transform for a discrete random variable!
Let $\phi_{x}(t)= E [ e^{itx}]$ be the characteristic function
If X is a continuous random variable, then:
$\phi_{x}(t)= E [ e^{itx}] = \int e^{itx} f(x)dx$ (being $f(x)$ the probability density ...
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Goodness of fit using characteristic function
When assessing goodness of fit of a model, one can use, for example, a Q-Q plot of empirical vs theoretical distributions. But how does one perform a GoF assessment when there is no closed form ...
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Why do we use exponent in characteristic function? [closed]
A student who is attending probability 101, learned about normal distribution and generating functions recently.
We are given a "generating function" as follows: $$G(t)=\langle e^{itx}\...
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What is the characteristic function of a rectified Normal distribution?
Rectified Normal distribution is a hybrid distribution with the following pdf:
$f(x;\mu ,\sigma ^{2})=\Phi (-{\frac {\mu }{\sigma }})\delta (x)+{\frac {1}{{\sqrt {2\pi \sigma ^{2}}}}}\;e^{{-{\frac ...
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How to perform van Zyl's (2018) ecf-based normality test in R [closed]
I have been reading quite a bit on empirical characteristic function (ecf) based normality tests, but cannot find any functions to perform such a test in R and lack the mathematical ability to figure ...
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How to find the characteristic function of a function related with Shannon entropy?
A random variable X is distributed with a known probability distribution $p(x)$. Suppose that $x$ is sampled in an independent and identically distributed process and with the results $\vec{x}=(x_1,...
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Expected of number of discrete uniform variables whose sum is bigger than k (from characteristic function of discrete Irwin–Hall distribution?)
The problem
Imagine we keep uniformly drawing $n$ integers $X_i$ from {0, 1, ..., 9} so that their sum is more than $10$. For instance, one draw would be {1, 0, 2, 5, 3}, hence $n=5$, and repeat this ...
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How can we write the below characteristic function?
Let us assume that $X$ is a random variable and $a$ is a constant. Now suppose $Y=a+bX$, what would the characteristic function of $Y$ would be? Is it?
\begin{eqnarray}
\mathbb{E}_X\left[\exp(iuY)\...
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On likelihood functions and characteristic functions
Let me preface this by saying that if someone manages to provide a solution to my problem, I will forever be indebted to them, as this problem has driven me crazy. Let us first assume that the ...
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A question about characteristic functions
A probability 101 question. We know that if two variables $X$ and $Y$ are independent then the characteristic function $\phi_{X+Y}(u)$ can be written as
\begin{equation}
\phi_{X+Y}(u)=\phi_{X}(u)\phi_{...
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A simple question about expectations
@psboonstra This is a valid point. After posting it, I too realized that the question is ill-posed. I attempted to oversimplify a problem that I had encountered in finding a characteristic function of ...
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Question about the log-normal distribution
The main object of my question is this: if $X$ has a log-normal distribution, $Y = X + Z$ and $Y$ has the same distribution as that of $Z^2$ (in other words, $F_{Z^2} = F_{X+Z}$) and $X, Z$ are ...
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Random variables $X, Z$ such that $Z$ and $\sqrt{X + Z}$ have the same distribution?
I am looking for the distribution of a random variable $Z$ defined as
$$Z = \sqrt{X_1+\sqrt{X_2+\sqrt{X_3+\cdots}}} .$$
Here the $X_k$'s are i.i.d. and have same distribution as $X$.
1. Update
I ...
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Difference between characteristic function and F-transform
I'm struggling to understand the difference between this two functions.
I have this condition: $P_j:=\mathbb{Q}(S_T>K):=\frac{1}{2}+\frac{1}{\pi}\int_{0}^{+\infty}Re[\frac{e^{iuK}f_j(u,x,v)}{iu}]\...
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Finding the characteristic function of a simple linear PDF
X is a random variable with a pdf of $ f(x) =
\begin{cases}
x/2, & 0 \le x \le 2 \\
0, & \text{otherwise}
\end{cases}$
I tried finding the characteristic function of this but ended up with ...
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How to pass from {Probability density function, convolution} to {Probability density function, characteristic function}?
In Forsman, W.C. (1986) "Polymers in solution: theoretical considerations and newer methods of characterization", Springer, New York.
https://www.springer.com/la/book/9780306421464 page 24, it states:...
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How to modify the mean and variance/dispersion of a given distribution
I am trying to find a parametric adjustment that allows modifying the mean and variance/dispersion of a given distribution.
Ideally, this adjustment would be implemented through a parametric function ...
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Expected value of $e^{sP}$ where s is a complex number and $P$ is a Poisson rv
For each positive integer $N$, let $ B_N$ be a binomial $(N,1/3)$ random variable and $P$ be a Poisson(5) random variable. I am trying to understand the statistics of $B_P$. Could someone please hint ...
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Proving the characteristic function involving sequence of 2 iid variables [duplicate]
We have an iid sequence with: $X_1,X_2,...$ with mean $\mu$ and variance $\sigma^2$.
We have another similar sequence: $$Y_1,Y_2,...$$.
We have a sequence $U1,U_2,...$ where, $U_n=1/\sqrt(2(n\sigma^...
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Proof of Convergence in Distribution with unbounded moment
I posted the question here, but no one has provided an answer, so I am hoping I could get an answer here. Thanks very much!
Prove that given $\{X_n\}$ being a sequence of iid r.v's with density $|x|^{...
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When to prefer the moment generating function to the characteristic function?
Let $(\Omega, \mathcal{F}, P)$ be a probability space, and let $X : \Omega \to \mathbb{R}^n$ be a random vector. Let $P_X = X_* P$ be the distribution of $X$, a Borel measure on $\mathbb{R}^n$.
The ...
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finding process corresponding to laplace transform
I have a positive stochastic process $X(t)$ with Laplace transforms
$$
\mathbb{E}\left[\mathrm{e}^{-uX(t)}\right]=\left(\frac{a+u\mathrm{e}^{-\kappa t}}{a+u}\right)^{b}
$$
One can clearly see that the ...
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Good book on characteristic functions that includes the CF-proof of the CLT
The title basically says it all. I would like to learn about CF in order to understand the proof of the CLT that makes use of CF. Ideally I would like to read a book that does not only give proves of ...
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Sampling from characteristic/moment generating function
Suppose I am given a probability distribution only via its characteristic or moment generating function and I want to sample from that distribution to generate paths in a Monte Carlo simulation. Is ...
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Characteristic function inequality
Random variable $X$ and its characteristic function $\phi_X(t)$ then
$$\Pr\left(|X|>\frac2T\right) \leq 2\left(1 - \frac1{2T}\int_{-T}^{T}\phi_X(t)dt\right)
$$
I cannot find a way how to ...
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Noncentral chi² with a noncentral chi² noncentrality parameter
Denote by $\chi^2(\nu,\lambda)$ the noncentral chi-square distribution with degrees of freedom $\nu$ and noncentrality parameter $\lambda$.
If $\Lambda \sim \chi^2(\nu, 2\theta)$ and $(X \mid \Lambda)...
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Application of Central Limit Theorem - Uniform Distribution
The following question I found on an old exam:
Given $n$ i.i.d. random variables $X_k$, $1 \leq k \leq n$, with uniform distribution on $[-1,1]$, it is easy to compute the characteristic function of ...
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Probability distribution from moments? [duplicate]
I would like to get the probability distribution (either pdf or cdf) for a variable, by knowing the first n-moments of the distribution.
I ask:
Is there a standard way to deal with this, and maybe a ...
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Dependent / Independent random variables with identical Cumulative distribution function
I'm stuck with an assignment, hope you guys can help.
Question:
Show, that there exist random variables $X,Y,X',Y'$ on a Probability Space $(\Omega, \mathscr{F},P)$, so that $X$ and $Y$ are not ...
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