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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.
For a Borel probability law , the characteristic function is (Characteristic function of a real random variable). The finite-measure Fourier convention is (Fourier transform of a finite complex Borel measure). These bounded integrands are integrable; the latter theorem's countable-choice premise is covered by the stated AC.
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. 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 [F1] applies in dimension one under the stated AC. For every real and , , so the defining bounded integrands are identical. Integrating this pointwise identity against either law gives and . Since the characteristic functions agree at every real argument, for every . This also verifies the finite-variation hypotheses of Fourier uniqueness.
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
- Deterministic Ito integrals are Gaussian Corollary
- One-sample natural error in the Gaussian model Corollary
- A boundary null has a nonstandard likelihood-ratio limit Counterexample
- Pointwise resampling misses the long-run variance of an AR(1) mean Counterexample
- Two visits can alias random-slope and residual variance components Counterexample
- Multivariate normal law, including singular covariance Definition
- A degenerate multivariate Gaussian limit Example
- A deterministic integral construction of a Gaussian process Example
- A hidden common cause is observationally indistinguishable from an edge Example
- Gaussian shift LAN and the regular sample mean Example
- Independent sums via characteristic functions Example
- Known-variance normal mean and exact likelihood calibration Example
- PC distinguishes a chain from an unshielded collider Example
- Stationary Ornstein–Uhlenbeck score and probability flow Example
- A bounded-density Gaussian bridge has a Borel multiscale law Lemma
- A finite stack of independent Gaussian vectors is jointly Gaussian Lemma
- A Gaussian error contrast has the induced multivariate-normal law Lemma
- Brownian covariance is equivalent to independent stationary normal increments Lemma
- Characteristic function of a multivariate normal law Lemma
- Finite-dimensional LAN convolution bound for differentiable functionals Lemma
- Invariant Gaussian law and uniqueness for a stable autoregression Lemma
- Positive trace-class covariance defines a Hilbert Gaussian Lemma
- Signal alignment of a Gaussian sample mean Lemma
- The mean of a finite independent normal sample is normal Lemma
- The pCN Gaussian reference pair law is symmetric Lemma
- The standard Gaussian law is determined by its moments Lemma
- A positive-definite multivariate normal law has its Gaussian density Theorem
- Convolution bound for regular estimators Theorem
- Functional central limit theorem by bracketing entropy Theorem
- Gaussian smoothing density and forward equation Theorem
- Levy characterization of Brownian motion Theorem
- Levy continuity theorem converse Theorem
- Robust sample lower bound in the Gaussian model Theorem
- Robust sample upper bound in the Gaussian model Theorem
- The canonical Gibbs measure is stationary for underdamped Langevin dynamics Theorem
- The Gaussian ULA invariant law has variance 2/(2-γ) Theorem
- Type-S density posteriors satisfy the weak multiscale Bernstein–von Mises theorem Theorem
Dependency tree · two levels
29 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)