cf_normal

Purpose

This Matlab function returns the value of the characteristic function of normal distribution with average mu and standard deviation sigma.

Arguments

On entry

• t ... a real or complex number or vector at which to evaluate this characteristic function.
• mu ... the average of the normal distribution. A real scalar. In Tail Probability Calculator application it must be zero.
• sigma ... the standard deviation of the normal distribution. A positive real scalar.

On return

• phi... the calculated characteristic function. A complex scalar or a complex vector of the same size as the argument t.

Usage