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Quantitative Finance · Begrippenlijst

Wat is Discrete and fast Fourier transforms?

Ook bekend als: discrete Fourier transform · fast Fourier transform

Definition 28.1 Quantitative Methods · Hoofdstuk 28 — Transforms, Interpolation and Algorithmic Differentiation

The discrete Fourier transform of x0,…,xN−1x_0, \dots, x_{N-1} is Xk=∑j=0N−1xje−2πijk/NX_k = \sum_{j=0}^{N-1}x_je^{-2\pi\mathrm ijk/N}, k=0,…,N−1k = 0, \dots, N - 1. A fast Fourier transform computes it in O(Nlog⁡N)O(N\log N) operations instead of O(N2)O(N^2) by splitting it recursively into transforms of half the length (Cooley and Tukey, 1965).

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