On analytic continuation of characteristic functions of probability measures

DOI10.1016/J.JMAA.2012.01.020MaRDI QIDQ408256zbMATH OpenOpenAlexFDO

Authors Saulius Norvidas

Publication date 29 March 2012

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.04492

zbMATH Keywords

characteristic functionCauchy transformanalytic functioncompletely monotonic functionabsolutely monotonic functioncomplex-valued harmonic function

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10)

Abstract: We derive necessary and sufficient conditions for a continuous bounded function $f:RoC$ to be a characteristic function of a probability measure. The Cauchy transform $K_f$ of $f$ is used as analytic continuation of $f$ to the upper and lower half-planes in $C$. The conditions depend on the behavior of $K_f(z)$ and its derivatives on the imaginary axis in $C$. The main results are given in terms of completely monotonic and absolutely monotonic functions.

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Cites work

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• On the theory of characteristic functions
• What is the Laplace Transform?

Cited in

(10)

• A characterization of the Stieltjes transforms of probability distribution functions
• Analytic continuations of Fourier and Stieltjes transforms and generalized moments of probability measures
• The analytical properties for homogeneous random transition functions
• PROBABILITY MEASURES ON ℂ ARISING FROM THE JACOBI–SZEGÖ PARAMETERS FOR CONTINUOUS DUAL HAHN POLYNOMIALS
• Characteristic functions of a class of probability distributions
• Characteristic functional of a probability measure absolutely continuous with respect to a Gaussian Radon measure
• Characteristic functions as distributional boundary values of analytic functions in tube domains
• scientific article; zbMATH DE number 4180395 (Why is no real title available?)
• scientific article; zbMATH DE number 3558641 (Why is no real title available?)
• The Parseval Equation as a Tool for the Continuation of Characteristic Functions and Positive Definite Probability Densities

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