Improve implementation for characteristic function of Log-normal distribution
astralord opened this issue · 0 comments
astralord commented
We integrate numerically on semi-finite interval in order to get CF of LogNormalRand. However, there exist at least two more ways to do it:
- we can use divergent Taylor series expansion
- or the Laplace transform, described in this 📝 , which requires implementation of Lambert-W function for pure imaginary argument