At Wed, 2 Jul 2008 11:55:32 -0600 (MDT), James Theiler wrote: > I reading thru the source code for the Levy library written for GNU. The > statistical model that we are studying is like alpha-stable as only the ch.f. > is in closed form. It will be presented this autumn in Melbourne, AU. > > Have you already considered using Fast Fourier transform for the Fourier > transform integral? > p(x) dx = (1/(2 pi)) \int dt exp(- it x - |c t|^alpha) > If so, was the Frequency Sampling Technique applied in FFT/IFFT adaptive to > the alpha parameter for faster computation? Or was there a bound placed on > alpha to imply out Nyquist frequency for your IFFT/FFT? I look forward to > your input. Thank you for your time and consideration.
The FFT method was too complicated for our needs as a general purpose library so I did not look at it. We only provide cumulative distribution functions when they are available in closed form. -- Brian Gough
