fft: from characteristic funtion to density function
take a look at http://finzi.psych.upenn.edu/R/Rhelp02a/archive/130153.html hth, Matthias
Jindan Zhou wrote:
Hello all! I've posted the question before but I am still struggling for an answer, please help if you can;-) Suppose a discrete series of data is generated by the following equation: CF=exp(-(t^2)/2) which is the characteristic function of a random variable X with standard normal distribution, how do I *numerically* solve for its probability density function? i.e., obtain a series of data that plots a well know bell-shape curve? Or, find x such that Pr(X<x)=0.05? I have no problem to derive the forward and inverse Fourier equation pair, but just no clue on numerical method. A working code on this simplest exercise would clear off many, many of my confusions I have generated CF with t of 256 points equally spaced between -4 to 4 in Excel, but don't know how to proceed. Thanks for your help! Jindan
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Dr. Matthias Kohl www.stamats.de