The relationship between Fourier and Mellin transforms, with applications to probability
نویسنده
چکیده
The use of Fourier transforms for deriving probability densities of sums and differences of random variables is well known. The use of Mellin transforms to derive densities for products and quotients of random variables is less well known. We present the relationship between the Fourier and Mellin transform, and discuss the use of these transforms in deriving densities for algebraic combinations of random variables. Results are illustrated with examples from reliability analysis.
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