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Hi.
Does anyone know a good source for learning about the characteristic function of a joint pdf. Is there any nice rules for that? For example assume having a waiting time density and a jump density which are independent (easy things first). Is there an elegant way to get the characteristic function of the process if I have the two individual cf's?
Thanks
Does anyone know a good source for learning about the characteristic function of a joint pdf. Is there any nice rules for that? For example assume having a waiting time density and a jump density which are independent (easy things first). Is there an elegant way to get the characteristic function of the process if I have the two individual cf's?
Thanks