From: Brian Gough <bjg@gnu.org>
To: jhu_80@yahoo.com
Cc: gsl-discuss@sourceware.org
Subject: Re: Library for FT alpha-Stable ch.f. (fwd)
Date: Thu, 03 Jul 2008 11:47:00 -0000 [thread overview]
Message-ID: <87fxqrkx5b.wl%bjg@network-theory.co.uk> (raw)
In-Reply-To: <Pine.LNX.4.44.0807021148190.17938-100000@yks.lanl.gov>
At Wed, 2 Jul 2008 11:55:32 -0600 (MDT),
James Theiler wrote:
> I reading thru the source code for the Levy library written for GNU. The statistical model that we are studying is like alpha-stable as only the ch.f. is in closed form. It will be presented this autumn in Melbourne, AU.
>
> Have you already considered using Fast Fourier transform for the Fourier transform integral?
> p(x) dx = (1/(2 pi)) \int dt exp(- it x - |c t|^alpha)
> If so, was the Frequency Sampling Technique applied in FFT/IFFT adaptive to the alpha parameter for faster computation? Or was there a bound placed on alpha to imply out Nyquist frequency for your IFFT/FFT? I look forward to your input. Thank you for your time and consideration.
The FFT method was too complicated for our needs as a general purpose
library so I did not look at it. We only provide cumulative
distribution functions when they are available in closed form.
--
Brian Gough
prev parent reply other threads:[~2008-07-03 11:47 UTC|newest]
Thread overview: 2+ messages / expand[flat|nested] mbox.gz Atom feed top
2008-07-02 17:56 James Theiler
2008-07-03 11:47 ` Brian Gough [this message]
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