Seonglae ChoCharacteristic function of any real-valued Random Variable defines its Probability Distribution
Characteristic function represents properties of Probability Distribution and it is a Fourier Transform of Probability Density Function which contains several useful information.
It is decomposed into Taylor series expansion and each elements presents Moment of Probability Distribution.
Characteristic function (probability theory)
In probability theory and statistics, the characteristic function of any real-valued random variable completely defines its probability distribution. If a random variable admits a probability density function, then the characteristic function is the Fourier transform of the probability density function. Thus it provides an alternative route to analytical results compared with working directly with probability density functions or cumulative distribution functions. There are particularly simple results for the characteristic functions of distributions defined by the weighted sums of random variables.
https://en.wikipedia.org/wiki/Characteristic_function_(probability_theory)
