[R] fft: characteristic function to distribution
Prof Brian Ripley
ripley at stats.ox.ac.uk
Wed Apr 30 16:38:41 CEST 2008
On Wed, 30 Apr 2008, Thomas Steiner wrote:
> The characteristic function is the inverse Fourier transform of the
> distribution function. The characteristic function of a normaly
> distributed random variable is exp(-t^2/2).
The fft is a discrete Fourier transforn, not a continuous one.
Further in each case where the normalizing constants are placed and the
units of frequecy differ from source to source.
?fft has references to exactly what it computes: please consult them.
> Why aren't the inverse fft and the mentioned function the same?
> Thanks for help,
> R-help at r-project.org mailing list
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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