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    Faculty: Dr.D.Anuradha Characteristic Function Definition: The Characteristic Function of A Random Variable X Is Denoted by

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    Ashutosh Maurya
    The characteristic function of a random variable is defined as the expected value of the exponential function of it multiplied by the random variable. It has three key properties: 1) it is bounded by 1, 2) it exists for all values of t, and 3) its complex conjugate is equal to replacing t with -t. The characteristic function can be used to find the mean and variance of distributions. For the exponential distribution, the characteristic function is equal to 1/(θ - it) and the mean is 1/θ and variance is 1/θ^2. For the Laplace distribution, the characteristic function is equal to 1/(1+t^2) . The probability density function corresponding to a characteristic

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    Faculty: Dr.D.Anuradha Characteristic Function Definition: The Characteristic Function of A Random Variable X Is Denoted by

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    Ashutosh Maurya
    26 views3 pages
    The characteristic function of a random variable is defined as the expected value of the exponential function of it multiplied by the random variable. It has three key properties: 1) it is bounded by 1, 2) it exists for all values of t, and 3) its complex conjugate is equal to replacing t with -t. The characteristic function can be used to find the mean and variance of distributions. For the exponential distribution, the characteristic function is equal to 1/(θ - it) and the mean is 1/θ and variance is 1/θ^2. For the Laplace distribution, the characteristic function is equal to 1/(1+t^2) . The probability density function corresponding to a characteristic

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    WINSEM2015-16_CP2656_27-Jan-2016_RM01_Characteristic-Function

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    The characteristic function of a random variable is defined as the expected value of the exponential function of it multiplied by the random variable. It has three key properties: 1) it is bounded by 1, 2) it exists for all values of t, and 3) its complex conjugate is equal to replacing t with -t. The characteristic function can be used to find the mean and variance of distributions. For the exponential distribution, the characteristic function is equal to 1/(θ - it) and the mean is 1/θ and variance is 1/θ^2. For the Laplace distribution, the characteristic function is equal to 1/(1+t^2) . The probability density function corresponding to a characteristic

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    26 views3 pages

    Faculty: Dr.D.Anuradha Characteristic Function Definition: The Characteristic Function of A Random Variable X Is Denoted by

    Uploaded by

    Ashutosh Maurya
    The characteristic function of a random variable is defined as the expected value of the exponential function of it multiplied by the random variable. It has three key properties: 1) it is bounded by 1, 2) it exists for all values of t, and 3) its complex conjugate is equal to replacing t with -t. The characteristic function can be used to find the mean and variance of distributions. For the exponential distribution, the characteristic function is equal to 1/(θ - it) and the mean is 1/θ and variance is 1/θ^2. For the Laplace distribution, the characteristic function is equal to 1/(1+t^2) . The probability density function corresponding to a characteristic

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    Download as pdf or txt
    of 3

    Faculty : Dr.D.

    Anuradha
    Characteristic Function

    Definition: The characteristic function of a random variable X is denoted by  X (t ) and


    is defined as
     itx
      e P( x) if X is discrete random variable
    itX x
     X (t )  E (e )   
      eitx f(x)dx if X is continuous random variable
     
    Properties:

    1. The characteristic function is bounded by one (1). That is,  X (t )  1 .


    2. The characteristic function  X (t ) exists for all values of t.
    3.  X ( t )   X (t ) , where  X (t ) is the complex conjugate of  X (t ) .

    ex ; x0
    1. Find the characteristic of the exponential distribution f ( x)   .
    0 ; otherwise
    Hence find the mean and variance.

    Solution: By definition, the characteristic function of X is given by


     
     X (t )  E (eitX )   eitx f ( x)dx   eitx .e x dx
     0
     
       e ( it ) x dx 
    0 (  it )

    1
    Note that, we can also express  X (t ) as,  X (t ) 
    it
    1

    2
     it   it 
     1        ....
       
    it 1
    Hence, we find that 1' = coefficient of 
    1! 
    it 2
    and  2' = coefficient of  2
    2! 
    1
    Hence, mean of X is given by Mean    1' 

    1
    and variance of X is given by Var(X)  2   2'  ( 1' ) 2  2

    1 x
    2. If X has the probability density function (Laplace distribution) f ( x)  e for
    2
    1
       x   . Show that the characteristic function of X is given by  X (t )  .
    1 t2
    Solution: By definition, the characteristic function of X is given by

     X (t )  E (eitX )   eitx f ( x)dx
    
    0 1 x  1 x
      eitx . e dx   eitx . e dx
     2 0 2
    1 0 1
      eitx .e x dx   eitx .e x dx
    2  20
    1 1
      e ity .e y dy   eitx .e  x dx
    20 20
    1 1
      e (1 it ) y dy   e (1it ) x dx
    20 20
     (1 it ) y   (1it ) x 
    1 e  1 e 
         
    2   (1  it )  2   (1  it ) 
    0 0
    1 1  1 1 
      
    2  (1  it )  2  (1  it ) 
    1 1 

    2  (1  it )(1  it ) 

    1

    1  t2

    3. Find the density function f (x) corresponding to the characteristic function defined as
    1  t , t  1
     X (t )   . .
     0 , t  1
    Solution: The probability density function f (x) is given by,
    1  itx
    f ( x)  e  X (t ) dt
    2  
    1  0 itx 1 
      e (1  t )dt   eitx (1  t )dt 
    2 1 0 
     0 1
    1   eitx   e itx     e itx   e itx  
     (1  t )   (1)    (1  t )   ( 1) 
    2    ix 
     
     (ix) 2  
      1     ix 
     
     (ix) 2  
      0 
     
    1  1 ix ix 
      2
    ( e  e  1  1) 
    2  (ix) 
    1  eix  eix 
     2 1  
    x  2 
    1  cos x
     ,    x  .
    x 2

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