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c1_y
2024 Jan 23
0
Quantiles of sums of independent discrete random variables
...s), the computation
of such a convolution is quite fast.
(B) Characteristic function:
X will be approximated with Y=X+Z, where Z is normal N(0,sigma) with small sigma.
Y has a density (which it is impossible to compute directly) but the characteristic function
(_continuous_ Fourier transform) cf_Y of Y can easily be computed analytically (without knowing
the density of Y)
Now let s be a numeric vector. I want to get the density f_Y(s) of Y evaluated along s.
The proper way of doing this would be to apply the inverse continuous Fourier transform to the function cf_Y at each point in s.
Thi...