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Characteristic-function tightness bound (μ(∣x∣≥2/h)≤h−1∫−hh​(1−Reφ(t))dt)

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Characteristic function Lévy continuity theorem
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For a probability measure on the real line with characteristic function φ, averaging 1−cos(tx) over [−h,h] gives 1−sin(hx)/(hx). This is at least 1/2 when ∣x∣≥2/h. Integrating gives the displayed bound. Consequently pointwise convergence of characteristic functions to a function continuous at zero implies tightness of probability measures, by the dominated convergence theorem on [−h,h] and a separate tail bound for the finitely many initial measures.

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  1. Lévy continuity theorem
  2. Characteristic function
  3. Probability theory
  4. Probability and statistics
  5. Area of mathematics
  6. Mathematics
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 Incoming links (2)

  • Past exam of the mathematics course of the University of Cambridge / 2001 / iii / Paper 21 / 3 / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2003 / iii / Paper 29 / 4 / a / Solution

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