[SciPy-User] characteristic functions of probability distributions

josef.pktd@gmai... josef.pktd@gmai...
Mon Nov 2 00:09:52 CST 2009


The characteristic function is just the (continuous) fourier transform
of the probability density function.

I tried to use fft and ifft to convert between the characteristic
function and the density function but I don't manage to get the units
or discretization correctly. Does anyone have an example script for
any distribution. Right now it's mostly a theoretical exercise, but
there are some interesting applications in finance.

Second related question, since I'm not good with complex numbers.

scipy.integrate.quad of a complex function returns the absolute value.
Is there a numerical integration function in scipy that returns the
complex integral or do I have to integrate the real and imaginary
parts separately?

Thanks,

Josef


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