A strong Tauberian theorem for characteristic functions
Résumé
Using wavelet analysis we show that if the characteristic function of a random variable X can be approximated at 0 by some polynomial of even degree 2p then the moment of order 2p of X exists. This strengthens a Tauberian-type result by Ramachandran and implies that the characteristic function is actually 2p times differentiable at 0. This fact also provides the theoretical basis for a wavelet based non-parametric estimator of the tail index of a distribution.
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