Figure 3.1: Signal with a positive skewness.

The characteristic function P̂ (k) is the Fourier transform of the PDF,

� +∞
P̂ (k) = eikv P (v)dv =< eikv > . (3.7)
−∞

The characteristic function of the sum of two independent variables is the product of
their individual characteristic functions.

If we take the derivative of the above equation with respect to k and evaluate it at
the origin (k = 0) we see that the n-th moment is related to the derivatives of the
characteristic function by,
�
dn P̂ (k) ��
� = in < v n >, (3.8)
dk n �k=0
√
where i = −1. Then the characteristic function can be written as a Taylor series of
the moments,
�
∞
� 1 dn Pˆ (k) �� n
�∞
(ik)n
P̂ (k) = n �
� k = < vn > . (3.9)
n=0 n! dk k=0 n=0 n!