diff --git a/inputs/lecture_09.tex b/inputs/lecture_09.tex index ddac17e..99f4671 100644 --- a/inputs/lecture_09.tex +++ b/inputs/lecture_09.tex @@ -113,7 +113,7 @@ We have $X: (\Omega, \cF) \to (\R, \cB(\R))$ is a random variable. Then we can define \[ - \phi_X(t) \coloneqq \bE[e^{\i t x}] + \phi_X(t) \coloneqq \bE[e^{\i t X}] = \int e^{\i t X(\omega)} \bP(\dif \omega) = \int_{\R} e^{\i t x} \mu(dx) = \phi_\mu(t), \] diff --git a/inputs/lecture_10.tex b/inputs/lecture_10.tex index 80bedbe..1ffaadd 100644 --- a/inputs/lecture_10.tex +++ b/inputs/lecture_10.tex @@ -30,13 +30,13 @@ where $\mu = \bP X^{-1}$. &&\lim_{T \to \infty} \frac{1}{2 \pi} \int_{-T}^T \int_{\R} \frac{e^{-\i t b}- e^{-\i t a}}{-\i t} e^{\i t x} \dif t \bP(\dif x)\\ &\overset{\text{Fubini for $L^1$}}{=}& \lim_{T \to \infty} \frac{1}{2 \pi} \int_{\R} \int_{-T}^T \frac{e^{-\i t b}- e^{-\i t a}}{-\i t} e^{\i t x} \dif t \bP(\dif x)\\ &=& \lim_{T \to \infty} \frac{1}{2 \pi} \int_{\R} \int_{-T}^T \frac{e^{\i t (b-x)}- e^{\i t (x-a)}}{-\i t} \dif t \bP(\dif x)\\ - &=& \lim_{T \to \infty} \frac{1}{2 \pi} \int_{\R} \underbrace{\int_{-T}^T \left[ \frac{\cos(t (x-b)) - \cos(t(x-a))}{-\i t}\right] \dif t \bP(\dif x)}_{=0 \text{, as the function is odd}} - \\&& - + \lim_{T \to \infty} \frac{1}{2\pi} \int_{\R}\int_{-T}^T \frac{\sin(t ( x - b)) - \sin(t(x-a))}{-t} \dif t \bP(\dif x)\\ + &=& \lim_{T \to \infty} \frac{1}{2 \pi} \int_{\R} \underbrace{\int_{-T}^T \left[ \frac{\cos(t (x-b)) - \cos(t(x-a))}{-\i t}\right] \dif t}_{=0 \text{, as the function is odd}} \bP(\dif x) \\ + && + \lim_{T \to \infty} \frac{1}{2\pi} \int_{\R}\int_{-T}^T \frac{\sin(t ( x - b)) - \sin(t(x-a))}{-t} \dif t \bP(\dif x)\\ &=& \lim_{T \to \infty} \frac{1}{\pi} \int_\R \int_{0}^T \frac{\sin(t(x-a)) - \sin(t(x-b))}{t} \dif t \bP(\dif x)\\ - &\overset{\substack{\text{\autoref{fact:intsinxx},}\\\text{dominated convergence}}}{=}& \frac{1}{\pi} \int -\frac{\pi}{2} \One_{x < a} + \frac{\pi}{2} \One_{x > a } - - (- \frac{\pi}{2} \One_{x < b} + \frac{\pi}{2} \One_{x > b}) \bP(\dif x)\\ - &=& \frac{1}{2} \bP(\{a\} ) + \frac{1}{2} \bP(\{b\}) + \bP((a,b))\\ + &\overset{\substack{\text{\autoref{fact:intsinxx},}\\\text{dominated convergence}}}{=}& + \frac{1}{\pi} \int -\frac{\pi}{2} \One_{x < a} + \frac{\pi}{2} \One_{x > a} + - (- \frac{\pi}{2} \One_{x < b} + \frac{\pi}{2} \One_{x > b}) \bP(\dif x)\\ + &=& \frac{1}{2} \bP(\{a\} ) + \frac{1}{2} \bP(\{b\}) + \bP((a,b))\\ &=& \frac{F(b) + F(b-)}{2} - \frac{F(a) - F(a-)}{2} \end{IEEEeqnarray*} \end{refproof}