Characteristic Functions and the Tail Behavior of Probability Distributions

Peter Phillips

No 567, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: The theory of Fourier transforms of generalized functions is used to extract general formulas for the tail behavior of a probability distribution from the behavior of its characteristic function in the locality of the origin. The theory is applied to develop asymptotic formula for the tails of the stable distributions.

Pages: 10 pages
Date: 1980
Note: CFP 622.
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Published in Canadian Journal of Economics (February 1985), 1: 58-65

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