Physical Sciences and Mathematics Commons^™

A Brief On Characteristic Functions, Austin G. Vandegriffe

Graduate Student Research & Creative Works

Characteristic functions (CFs) are often used in problems involving convergence in distribution, independence of random variables, infinitely divisible distributions, and stochastics. The most famous use of characteristic functions is in the proof of the Central Limit Theorem, also known as the Fundamental Theorem of Statistics. Though less frequent, CFs have also been used in problems of nonparametric time series analysis and in machine learning. Moreover, CFs uniquely determine their distribution, much like the moment generating functions (MGFs), but the major difference is that CFs always exists, whereas MGFs can fail, e.g. the Cauchy distribution. This makes CFs more robust in …