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From Characteristic Function to Distribution Function: A Simple Framework for the Theory

Published online by Cambridge University Press:  11 February 2009

N.G. Shephard
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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.

Type
Research Article
Information
Econometric Theory , Volume 7 , Issue 4 , December 1991 , pp. 519 - 529
Copyright
Copyright © Cambridge University Press 1991

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References

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