1.Previous
3.Next

In the univariate case (i.e. when is scalar-valued) the density function is given by

In the multivariate case it is

where is the dot product.

The density function is the Radon-Nikodym derivative of the distribution with respect to the Lebesgue measure :

Theorem (Lévy). If is characteristic function of distribution function , two points are such that is a continuity set

1.Previous
3.Next