View Full Version : Inverting characteristic functions of probability distributions

09-04-2003, 10:19 AM

Whilst this is not strictly NR related, I wondered if anyone had had any experience in numerical inversion of chracteristic functions of continious distributions using FFT -- I have read this is possible but must admit am a trifle confused. I can get it to work for non-continuous distributions by writing the MGF as a z transform and substituting exp(i.2pi.u.t) for z... I guess it boilds down to aliasing/truncation errors to do with DFTs as my CF does not go to zero as "frequency" increases...

Any pointers would be gratefully appreciated..