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Fourier-cutoff recovery of expectations from a characteristic function

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Characteristic function Uniqueness theorem for characteristic functions
2026-10-03  0 By others on same topic  0 Discussions Create my own version
Let f be compactly supported and continuous, let g,g​∈L1(R), and use g​(t)=∫g(x)eitxdx. If g(0)=0, then
E[f(Z)]=limε↓0​2πg(0)1​∫R​g(εs)f​(−s)φZ​(s)ds.
(1)
This follows by Fubini's theorem, a change of variables, Fourier inversion theorem, and dominated convergence theorem. It gives a direct proof of the uniqueness theorem for characteristic functions because the right side depends only on φZ​.

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  • Past exam of the mathematics course of the University of Cambridge / 2019 / ii / Paper 3 / 26K / b / Solution

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