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.
x=seq(-2,2,length=100)
fft(pnorm(x),inverse=T)/length(x)
exp(-x^2/2)
Why aren't the inverse fft and the mentioned function the same?
Thanks for help,
Thomas
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
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, [EMAIL PROTECTED]
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
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
