All Questions
Tagged with fourier-transform probability-distributions
15 questions
8
votes
1
answer
2k
views
General Fourier inversion formula (Gil-Pelaez)
Gil-Pelaez (1951) proves the Fourier inversion formula
\begin{align*}
F(x) &= \frac{1}{2} + \frac{1}{2\pi} \int_0^\infty \frac{e^{itx}\phi(-t)-e^{-itx}\phi(t)}{it}dt \\
&= \frac{1}{2} - \frac{...
- 255
5
votes
1
answer
261
views
Infimum of Fourier transform of singular measure
Let $\mu$ be a finite non negative singular measure on $\mathbf{R}^d$. I would like to know if there exists some result on the infimum of the absolute value of its Fourier Transform $$\hat{\mu}(t)=\...
- 93
4
votes
1
answer
398
views
Inequality for Fourier transform of a power exponential function
Let
$$
f_{\alpha}(x)=\phi_1(\alpha) \mathrm{e}^{-\frac{|x|^\alpha}{\phi_2(\alpha) }},
x \in \mathbb{R}, 0<\alpha<2,
$$
where
$\phi_1(\alpha)=\frac{\alpha}{2}
\left\{{\{\Gamma(3/\alpha)\}^{1/...
- 178
4
votes
3
answers
910
views
Solution to the fractional differential equation
What is the solution of the fractional differential equation
$$
f^{(\alpha-1)}(t) = tf(t)
$$
where $(\alpha)$ denotes the fractional derivative of order $\alpha$
EDIT: Background behind this ...
- 329
4
votes
3
answers
433
views
Expectation of $(c+e^{N(0,\sigma^2)})^{-n},\, n>0$
I would like to know if there's a way to compute or approximate the following expectation:
$$\mathbb{E}[(c+e^X)^{-n}]$$
where $X=N(0,\sigma^2)$ and $n,c>0$ (you can also assume that $n$ is a ...
- 81
2
votes
1
answer
286
views
CTRW: solve a renewal equation
Let X(t) be a continuous time random walk, with exponentially distributed waiting times of pdf $f_T(t)= k e^{-k t}\; t\geq 0$ and a jump sizes pdf $f_J(x)$. Suppose the initial distribution $\rho_{X(0)...
- 634
2
votes
1
answer
255
views
Comparison of tail behaviour of two (bounded) random variables given their moments
Given: two positive scalar (bounded) random variables $X$ and $Y$ with the following conditions to hold:
$$ E(X)=E(Y),\ E(X^k)\ge E(Y^k), \forall k>1$$
How to show (whether it is possible to show) ...
- 21
2
votes
0
answers
814
views
Quantifying the “flatness” of functions which are the Fourier transforms of positive functions
Short version of question: I'm trying to understand the extent to which a function is prevented from being "flat" as a result of being the Fourier transform of a positive function. That is, the extent ...
- 21
1
vote
1
answer
117
views
Positivity of exponentially bounded characteristic functions
I've noticed that for the classical examples of exponentially bounded, symmetrical distributions (Gaussian, Laplace, Double Exponential, Uniform), their characteristic functions are positive for all ...
- 73
1
vote
1
answer
337
views
Posterior expected value for squared Fourier coefficients of random Boolean function
Let $f : \{0, 1\}^{n} \rightarrow \{-1, 1\}$ be a Boolean function. Let the Fourier coefficients of this function be given by
$$ \hat f(z) = \frac{1}{2^{n}} \sum_{x \in \{0, 1\}^{n}} f(x)(-1)^{x \cdot ...
1
vote
0
answers
43
views
Does the constrained Wasserstein barycenter admit a blue noise property?
Let $(E,d)$ be a metric space and $\nu$ be a probability measure on $\mathcal B(E)$. In this paper, it is mentioned that sampling from $\mu$ can be described as choosing $n\in\mathbb N$, $x_1,\ldots,...
- 167
1
vote
0
answers
205
views
Inversion of Fourier transform of a multivariate gamma distribution in polar form?
Let $\mathbb{S}^{N-1}$ be the unit sphere in $\mathbb{R}^N$ under the Euclidean norm $||\cdot||$. Let $\mu$ be an infinitely divisible Borel measure. If there exists a finite measure $\alpha$ on $\...
- 11
0
votes
1
answer
294
views
Joint distribution of random Fourier coefficients
Consider choosing a Boolean function $f : \{0, 1\}^{n} \rightarrow \{-1, 1\}$ uniformly at random from the set of all Boolean functions and consider the random variable $\left(\hat f(z_{1}), \hat f(z_{...
0
votes
1
answer
139
views
A probability distribution, with Fourier transform smaller than $C \exp(-ct^2)$
Is there a probability distribution $\mu$ (with reasonably nice density $f$ on $\mathbb{R}$) such that the Fourier transform (aka. characteristic function) $\psi_\mu(t) = \int_{\mathbb{R}} e^{itx} \, ...
- 1,295
0
votes
1
answer
149
views
If there is an increasing bijection between two functions, will there be an increasing bijection between their fourier transforms?
Assume I have two independent random variables $X$ and $Y$ with distributions $F_X$ and $F_Y$ respectively. Moreover, I know that $F_Y= g(F_X)$ where $g(.)$ is a strictly increasing bijective function....
