Characteristic function (probability theory)


In probability theory and statistics, the characteristic function of any real-valued random variable completely defines its probability distribution. If a random variable admits a probability density function, then the characteristic function is the Fourier transform of the probability density function. Thus it provides an alternative route to analytical results compared with working directly with probability density functions or cumulative distribution functions. There are particularly simple results for the characteristic functions of distributions defined by the weighted sums of random variables.
In addition to univariate distributions, characteristic functions can be defined for vector- or matrix-valued random variables, and can also be extended to more generic cases.
The characteristic function always exists when treated as a function of a real-valued argument, unlike the moment-generating function. There are relations between the behavior of the characteristic function of a distribution and properties of the distribution, such as the existence of moments and the existence of a density function.

Introduction

The characteristic function is a way to describe a random variable.
The characteristic function,
a function of,
determines the behavior and properties of the probability distribution of.
It is equivalent to a probability density function or cumulative distribution function, in the sense that knowing one of these functions allows computation of the others, but they provide different insights into the features of the random variable.
In particular cases, one or another of these equivalent functions may be easier to represent in terms of simple standard functions.
If a random variable admits a density function, then the characteristic function is its Fourier dual, in the sense that each of them is a Fourier transform of the other. If a random variable has a moment-generating function, then the domain of the characteristic function can be extended to the complex plane, and
Note however that the characteristic function of a distribution is well defined for all real values of, even when the moment-generating function is not well defined for all real values of.
The characteristic function approach is particularly useful in analysis of linear combinations of independent random variables: a classical proof of the Central Limit Theorem uses characteristic functions and Lévy's continuity theorem. Another important application is to the theory of the decomposability of random variables.

Definition

For a scalar random variable the characteristic function is defined as the expected value of, where is the imaginary unit, and is the argument of the characteristic function:
Here is the cumulative distribution function of, is the corresponding probability density function, is the corresponding inverse cumulative distribution function also called the quantile function, and the integrals are of the Riemann–Stieltjes kind. If a random variable has a probability density function then the characteristic function is its Fourier transform with sign reversal in the complex exponential. This convention for the constants appearing in the definition of the characteristic function differs from the usual convention for the Fourier transform. For example, some authors define, which is essentially a change of parameter. Other notation may be encountered in the literature: as the characteristic function for a probability measure, or as the characteristic function corresponding to a density.

Generalizations

The notion of characteristic functions generalizes to multivariate random variables and more complicated random elements. The argument of the characteristic function will always belong to the continuous dual of the space where the random variable takes its values. For common cases such definitions are listed below:
Oberhettinger provides extensive tables of characteristic functions.

Properties

  • The characteristic function of a real-valued random variable always exists, since it is an integral of a bounded continuous function over a space whose measure is finite.
  • A characteristic function is uniformly continuous on the entire space.
  • It is non-vanishing in a region around zero:.
  • It is bounded:.
  • It is Hermitian:. In particular, the characteristic function of a symmetric random variable is real-valued and even.
  • There is a bijection between probability distributions and characteristic functions on,. That is, for any two random variables,, with values in, both have the same probability distribution if and only if.
  • If a random variable has moments up to -th order, then the characteristic function is times continuously differentiable on the entire real line. In this case
  • If a characteristic function has a -th derivative at zero, then the random variable has all moments up to if is even, but only up to if is odd.
  • If are independent random variables, and are some constants, then the characteristic function of the linear combination of the variables is One specific case is the sum of two independent random variables and in which case one has
  • Let and be two random variables with characteristic functions and. and are independent if and only if.
  • The tail behavior of the characteristic function determines the smoothness of the corresponding density function.
  • Let the random variable be the linear transformation of a random variable. The characteristic function of is. For random vectors and , we have.

    Continuity

The bijection stated above between probability distributions and characteristic functions is sequentially continuous. That is, whenever a sequence of distribution functions converges to some distribution, the corresponding sequence of characteristic functions will also converge, and the limit will correspond to the characteristic function of law. More formally, this is stated as
This theorem can be used to prove the law of large numbers and the central limit theorem.

Inversion formula

There is a one-to-one correspondence between cumulative distribution functions and characteristic functions, so it is possible to find one of these functions if we know the other. The formula in the definition of characteristic function allows us to compute when we know the distribution function . If, on the other hand, we know the characteristic function and want to find the corresponding distribution function, then one of the following inversion theorems can be used.
Theorem. If the characteristic function of a random variable is integrable, then is absolutely continuous, and therefore has a probability density function. In the univariate case the density function is given by
In the multivariate case it is
where is the dot product.
The density function is the Radon–Nikodym derivative of the distribution with respect to the Lebesgue measure :
Theorem . If is characteristic function of distribution function, two points are such that is a continuity set of , then
  • If is scalar: This formula can be re-stated in a form more convenient for numerical computation as For a random variable bounded from below one can obtain by taking such that Otherwise, if a random variable is not bounded from below, the limit for gives, but is numerically impractical.
  • If is a vector random variable:
Theorem. If is an atom of then
  • If is scalar:
  • If is a vector random variable:
Theorem . For a univariate random variable, if is a continuity point of then
where the imaginary part of a complex number is given by.
And its density function is:
The integral may be not Lebesgue-integrable; for example, when is the discrete random variable that is always 0, it becomes the Dirichlet integral.
Inversion formulas for multivariate distributions are available.

Criteria for characteristic functions

The set of all characteristic functions is closed under certain operations:
  • A convex linear combination of a finite or a countable number of characteristic functions is also a characteristic function.
  • The product of a finite number of characteristic functions is also a characteristic function. The same holds for an infinite product provided that it converges to a function continuous at the origin.
  • If is a characteristic function and is a real number, then,, and are also characteristic functions.
It is well known that any non-decreasing càdlàg function with limits, corresponds to a cumulative distribution function of some random variable. There is also interest in finding similar simple criteria for when a given function could be the characteristic function of some random variable. The central result here is Bochner’s theorem, although its usefulness is limited because the main condition of the theorem, non-negative definiteness, is very hard to verify. Other theorems also exist, such as Khinchine’s, Mathias’s, or Cramér’s, although their application is just as difficult. Pólya’s theorem, on the other hand, provides a very simple convexity condition which is sufficient but not necessary. Characteristic functions which satisfy this condition are called Pólya-type.
Bochner’s theorem. An arbitrary function is the characteristic function of some random variable if and only if is positive definite, continuous at the origin, and if.
Khinchine’s criterion. A complex-valued, absolutely continuous function, with, is a characteristic function if and only if it admits the representation
Mathias’ theorem. A real-valued, even, continuous, absolutely integrable function, with, is a characteristic function if and only if
for, and all. Here denotes the Hermite polynomial of degree.
Pólya’s theorem. If is a real-valued, even, continuous function which satisfies the conditions
then is the characteristic function of an absolutely continuous distribution symmetric about 0.