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Student Support Forum: 'Numerical Inversion of Charcteristic Funtion' topicStudent Support Forum > General > Archives > "Numerical Inversion of Charcteristic Funtion"

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Scott
08/01/13 00:57am

Hi,

I am attempting to numerically invert the characteristic function F(y) of the normal distribution using the FFT. I have discretised the integral into a form consistent with FFT. As a first step I am computing this integral by calculating the sums (i.e. not using the FFT). My problem is that when I increase the number of terms N in the sum, the plot of the approximate PDF f(x) gets thinner and thinner and obviously does not approach the true PDF. I am not sure if I have made an error in the mathematics or in the code (please see attached file).

Any help would be appreciated,
Scott

Attachment: Question.nb, URL: ,
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