Inverse Fourier Transform help (pdf from first characteristic function)

4 Ansichten (letzte 30 Tage)
Salvatore
Salvatore am 15 Mai 2012
Hello,
I have a program that generates a truncated version of the second characteristic function (cumulant generating function) of a random variable. From this I calculate first characteristic function (moment generating function), using the following loop:
syms s x
firstchar = 1;
for i = 1:k
firstchar = firstchar*exp(s^(i)*cumulant(i)/factorial(i));
end
Next I take the inverse Fourier Transform of the first characteristic function to get the pdf. This is all done symbolically with the following code
f_cs = simplify(eval(firstchar));
f_cs = subs(f_cs, s, -1i*x);
pdf = ifourier(f_cs, x, t);
In most cases (for i > 2 in the above loop) I am not able to find a closed form of the pdf.
Can anyone help? I don't necessarily need to do this symbolically, and have tried using ifft, but nothing seems to work. Any ideas?
Thank you.

Antworten (0)

Kategorien

Mehr zu MATLAB finden Sie in Help Center und File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by