- #1
cappadonza
- 27
- 0
so a charateristic function of a RV is complex valued funtion. from my lecture, the distribution funtion of a Random variable is not always "well behaved", may not have a density etc. A charateristic function on the other had is "well behave".
What i don't understand is, is that the only reason we use it ?
how is it actually derived, why does it have to be complex valued .
this is the definition I'm given [tex] \phi(t) = \mathbb{E}(e^{itX})[/tex]
how is this actually derived, is somewhere where i can find the proof ?
What i don't understand is, is that the only reason we use it ?
how is it actually derived, why does it have to be complex valued .
this is the definition I'm given [tex] \phi(t) = \mathbb{E}(e^{itX})[/tex]
how is this actually derived, is somewhere where i can find the proof ?