Characteristic Functions <Back to Last Page>     <Full Glossary>

Definition of Characteristic Functions: Characteristic functions are denoted here as PSI(t) or PSI_X(t). Is defined for any random variable X with a pdf f(x). PSI(t) is defined to be E[e^itX], which is the integral from minus infinity to infinity of e^itXf(x).

This is also the cgf, or cumulant generating function. (Econterms)

Terms related to Characteristic Functions:

• Characteristic equation
• Characteristic root

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