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Inverse Characteristic Function of Sum of Random Variables

  • To: mathgroup at smc.vnet.net
  • Subject: [mg18110] Inverse Characteristic Function of Sum of Random Variables
  • From: "Will Cooper" <wcooper1 at san.rr.com>
  • Date: Thu, 17 Jun 1999 12:26:43 -0400
  • Organization: SouthWest Cable of San Diego, CA
  • Sender: owner-wri-mathgroup at wolfram.com

Hello,

I'm using Mathematica 3.0 to find the inverse characteristic function of the
sum of a number of random variables.

The random variable contains BesselK and Gamma functions and its
characteristic equation contains Gamma and Hypergeometric functions.

I'm able to get the characteristic and inverse characteristic function of
the single random variable, but the Mathematica 3.0 craps out when I try to
get the inverse of the (characteristic function)^n , i.e. the pdf of the sum
of n random variables.

Can someone try this calculation out for me using Mathematica v4, since I'm
using the Student Version 3.0 and Wolfram won't allow student upgrades till
August.

I attach the notebook showing the original characteristic function equation
and the inverse (characteristic function)^n attempt.

[Contact the author to receive the notebook mentioned above. - moderator]

Thanks,

Will Cooper.
wcooper1 at san.rr.com





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