From Characteristic Function to Distribution Function: A Simple Framework for the Theory

Neil Shephard ()

Econometric Theory, 1991, vol. 7, issue 4, 519-529

Abstract: A unified framework is established for the study of the computation of the distribution function from the characteristic function. A new approach to the proof of Gurland's and Gil-Pelaez's univariate inversion theorem is suggested. A multivariate inversion theorem is then derived using this technique.

Date: 1991
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