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From characteristic function to distribution function: a simple framework for the theory

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.
Publication status:
Published
Peer review status:
Peer reviewed

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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Research group:
"Financial Economics", "Econometrics"
Oxford college:
Nuffield College
Role:
Author
Publisher:
Cambridge University Press Publisher's website
Journal:
Econometric theory Journal website
Volume:
7
Issue:
4
Pages:
519-529
Publication date:
1991-12-01
ISSN:
0266-4666
Language:
English
Keywords:
Subjects:
UUID:
uuid:a4c3ad11-74fe-458c-8d58-6f74511a476c
Local pid:
ora:2271
Deposit date:
2008-08-12

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