From Characteristic Function to Distribution Function: A Simple Framework for the Theory
- 1 September 1991
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 7 (4) , 519-529
- https://doi.org/10.1017/s0266466600004746
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.Keywords
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