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From Characteristic Function toDistribution Function: A Simple Framework for theTheory

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 thecomputation of the distribution function from thecharacteristic function. A new approach to the proofof Gurland's and Gil-Pelaez's univariate inversiontheorem is suggested. A multivariate inversiontheorem is then derived using this technique.

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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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