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Uniform pdf from difference of two stochastic variables?

  1. Apr 19, 2013 #1
    Hi,

    I'm trying to find a probability distribution (D) with the following property:
    Given two independent stochastic variables X1 and X2 from the distribution D, I want the difference Y=X1-X2 to have a uniform distribution (one the interval [0,1], say).

    I don't seem to be able to solve it. I'm not even sure that such a distribution exists...

    Any ideas?
     
  2. jcsd
  3. Apr 19, 2013 #2

    mathman

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    Sugestion (outline). For simplicity I will make it uniform on the interval (-1/2,1/2). The characteristic function is sin(t/2)/(t/2). Take the square root and then the inverse Fourier transform should give you something close to what you want (the sum of two random variables will have a uniform distribution).
     
  4. Apr 22, 2013 #3
    Yes, that's one of the things I already tried. The problem is that I didn't manage to calculate that inverse Fourier transform. I tried it with Mathematica, which could not find an analytical solution. I also tried the numerical inverse Fourier transform in Mathematica but it also failed. Maybe it means that this distribution doesn't exist?
     
  5. Apr 22, 2013 #4

    mathman

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    My guess: there is no density function. You might try getting the distribution function.

    F(y) - F(x) = 1/2π ∫{(exp(ity) - exp(itx))φ(t)/(it)}dt
    ------------------------------------------------------------------

    http://mathforum.org/kb/forumcategory.jspa?categoryID=16

    You might try the above forum - it is more mathematical.
     
    Last edited: Apr 22, 2013
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