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

@article{Shephard1991FromCF,
  title={From Characteristic Function to Distribution Function: A Simple Framework for the Theory},
  author={Neil Shephard},
  journal={Econometric Theory},
  year={1991},
  volume={7},
  pages={519 - 529}
}
  • N. Shephard
  • Published 1 December 1991
  • Mathematics
  • Econometric Theory
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. 

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