A note on analytic continuation of characteristic functions
Classical Analysis and ODEs
2020-09-11 v1 Complex Variables
Probability
Abstract
We derive necessary and sufficient conditions for a continuous bounded function to be a characteristic function of a probability measure. The Cauchy transform of is used as analytic continuation of to the upper and lower half-planes in . The conditions depend on the behavior of and its derivatives on the imaginary axis in . The main results are given in terms of completely monotonic and absolutely monotonic functions.
Cite
@article{arxiv.2009.04492,
title = {A note on analytic continuation of characteristic functions},
author = {Saulius Norvidas},
journal= {arXiv preprint arXiv:2009.04492},
year = {2020}
}
Comments
6 pages