[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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