Characteristic function approach to the sum of stochastic variables

Annibal Figueiredo, Iram Gleria, Raul Matsushita and Sergio Da Silva

MPRA Paper from University Library of Munich, Germany

Abstract: This paper puts forward a technique based on the characteristic function to tackle the problem of the sum of stochastic variables. We consider independent processes whose reduced variables are identically distributed, including those that violate the conditions for the central limit theorem to hold. We also consider processes that are correlated and analyze the role of nonlinear autocorrelations in their convergence to a Gaussian. We demonstrate that nonidentity in independent processes is related to autocorrelations in nonindependent processes. We exemplify our approach with data from foreign exchange rates.

Keywords: econophysics; central limit theorem; characteristic function; reduced variables; autocorrelation (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:1984

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