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For a continuous bounded pdf $K(x)$ that is symmetric about $0$ (also suppose $K(0)>0$), let $\phi(t):=\int e^{itx}K(x)dx$ be its characteristic function. Does it hold that $K(x)$ is positive definite (i.e. $\sum_{i=1}^n \sum_{j=1}^n z_i \bar{z_j}K(x_i-x_j)\geq 0$ for all complex $z$'s, real $x$'s, and $n$) iff the real part of $\phi(t)$ is nonnegative? (or at least the "only if" part holds)

Attempt: From Bochner's theorem, we have (suffice via changes of variables): $K$ is positive definite iff there exists a probability measure $\mu$ such that $\frac{K(x)}{K(0)}=\int e^{-itx} d\mu(t)$. Despite that $\mu$ and $\phi$ appear like Fourier inverses of each other, $\mu$ here is a measure while $\phi$ is a real-valued function. How do we proceed to draw a connection between $\phi$ and $\mu$?

The uniqueness of Fourier transform says if $\mu_1, \mu_2$ are finite positive measures and $F(\mu_1)=F(\mu_2)$, then $\mu_1=\mu_2$. However, do we know $\nu(A):=\int_A \phi(t) dt$ is a finite measure?


Edit: As pointed out by Adam, the above reasoning using Fourier inversion needs not to hold in general. A sufficient condition for the iff statement to hold would need an additional assumption that $\phi(t)$ is integrable.

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Yes. A theorem by Bochner states that a real valued function is positive definite if and only if it is the Fourier transform of a positive measure, or in probabilistic terms, if and only if it is a characteristic function of a probability distribution.

Note that the Fourier transform (i.e. the characteristic function of a symmetric probability distribution) of a symmetric integrable function is real, so there is no need to talk about its real part.

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  • $\begingroup$ Thanks for the answer. However, there's a subtlety I cannot work out. I edited my question for this. Would you mind clarifying a bit further on that? $\endgroup$ Commented Feb 13, 2023 at 23:44
  • $\begingroup$ The Fourier transform of $\phi$ is $K$, up to some positive constant. In other words, $\mu$ is proportional to $\phi$. $\endgroup$ Commented Feb 14, 2023 at 0:08
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    $\begingroup$ Wikipedia seems to think $K$ continuous and integrable isn't sufficient to show $\phi$ integrable, though I don't know of a counter-example off-hand. @NXWang $\endgroup$ Commented Feb 14, 2023 at 14:34
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    $\begingroup$ @Adam I think we can find a counter-example here. I guess this now shows that the reasoning breaks, as Fourier inversion may not apply. $\endgroup$ Commented Feb 14, 2023 at 14:57
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    $\begingroup$ Yes, I think you need to assume also $\phi$ integrable, though that's not a very strong assumption. @NXWang $\endgroup$ Commented Feb 14, 2023 at 15:06

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