public static void ConvolveU01_U01(int N)
{
double[] x = new double[N];
Complex[] data = new Complex[N];
double min = U01.min();
double max = 2.0 * U01.max();
double step = (max - min) / (double)(N - 1);
for (int k = 0; k != N; ++k)
{
x[k] = 0.0 + (double)k * step;
data[k] = new Complex(U01.PDF(x[k]), 0.0);
}
Fourier.Forward(data, FourierOptions.Default);
// var invN = 1.0 / Math.Sqrt(N);
var invN = 1.0;
// FT of convolution of the same PDSs is just a multiplication
for (int k = 0; k != N; ++k)
{
var v = data[k];
data[k] = v * v * invN;
}
Fourier.Inverse(data, FourierOptions.Default);
// something is wrong with normalization
for (int k = 0; k != N; ++k)
{
Console.WriteLine($" {x[k]} {data[k].Real}");
}
}
