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Uniqueness of a law from its characteristic function
Statement
Assume AC. Two Borel probability laws on with equal characteristic functions are equal. In particular a real random variable has a real-valued characteristic function if and only if its law is symmetric under .
Facts & Assumptions
Given: The hypotheses and conventions in the statement.
Probability and Fourier conventions correspond by an invertible frequency change. Characteristic function fourier stieltjes convention.
Under AC finite complex Borel measures with equal transforms are equal. Uniqueness of finite Borel measures from their Fourier transforms.
AC supplies the choices in the Fourier uniqueness proof. The Axiom of Choice.
Reflection conjugates a characteristic function. Basic properties of characteristic functions.
The reflected law has characteristic function phi(-t). Characteristic functions under affine maps and independent sums.
Proof
Let be the two laws. For every real , F1 gives . Each positive probability law, regarded as a complex measure, has total variation one: every measurable partition has sum of absolute masses equal to its total mass. Thus the finite-variation hypotheses of Fourier uniqueness hold.
Apply F2 in dimension one to obtain . AC is inherited from that proof: it supplies the Hahn/Jordan and Radon–Nikodym selections used in Gaussian smoothing and covers its regularity argument. No inversion result from this page is used.
For the final equivalence, F5 with and F4 give . If is real-valued, the two characteristic functions agree and step 2.1 proves symmetry of the law. Conversely, symmetry means the two laws, hence their defining integrals, agree; the displayed identity then forces , so every value is real.
Depends on
Used by
Dependency tree · two levels
26 results within two dependency steps of this one, each drawn at its shortest distance from it. An arrow runs from a result to what uses it, so the chart reads left to right and ends at this result, which carries a heavier outline. Every node is a link to that result. Click elsewhere on the chart to enlarge it.
Sources
- Durrett, Probability: Theory and Examples, fifth edition (standard reference, not scraped)
- Norris, Probability and Measure (standard reference, not scraped)