fourier analysisfourier transformnormal distribution
I would like to work out the Fourier transform of the Gaussian function
$$f(x) = \exp \left(-n^2(x-m)^2 \right)$$
It seems likely that I will need to use differentiation and the shift rule at some point, but I can't seem to get the calculation to work. Does anyone have any advice?
By the way, I am using
$$\mbox{FT}(f)(k)=\int_{-\infty}^\infty f(x)e^{-ikx}\,\mathrm d x$$
as my definition of a Fourier transform. Many thanks.
Here's a different argument. Take a zero-mean Gaussian random variable $X$. We know that the sum of $n$ copies of $X$, scaled down by a factor of $\sqrt{n}$, is distributed the same as $X$. On the other hand, by the characteristic function argument (which can be used to prove the central limit theorem) we know that the Fourier transform of $(X_1+\cdots+X_n)/\sqrt{n}$ converges to $\exp(- \sigma^2x^2/2)$.
Edit: an even simpler way. Again take $X$ to be a zero-mean Gaussian. We know that $(X+X)/\sqrt{2}$ is equidistributed with $X$. We immediately deduce that all higher-order cummulants are nil, and since the second cummulant is the variance, we get that the Fourier transform is $\exp(-\sigma^2x^2/2)$.
I write the Fourier transform as
$$\hat{f}(k) = \int_{-\infty}^{\infty} dx \: \frac{\sin{x}}{x} e^{i k x} $$
Consider, rather, the integral
$$ \frac{1}{i 2} \int_{-\infty}^{\infty} dx \: \frac{e^{i x}-e^{-i x}}{x} e^{i k x} $$
$$ = \frac{1}{i 2} \int_{-\infty}^{\infty} dx \: \frac{e^{i (1+k) x}}{x} - \frac{1}{i 2} \int_{-\infty}^{\infty} dx \: \frac{e^{-i (1-k) x}}{x} $$
Consider the following integral corresponding to the first integral:
$$\oint_C dz \: \frac{e^{i (1+k) z}}{z} $$
where $C$ is the contour defined in the illustration below:
This integral is zero because there are no poles contained within the contour. Write the integral over the various pieces of the contour:
$$\int_{C_R} dz \: \frac{e^{i (1+k)z}}{z} + \int_{C_r} dz \: \frac{e^{i (1+k) z}}{z} + \int_{-R}^{-r} dx \: \frac{e^{i (1+k) x}}{x} + \int_{r}^{R} dx \: \frac{e^{i (1+k) x}}{x} $$
Consider the first part of this integral about $C_R$, the large semicircle of radius $R$:
$$\int_{C_R} dz \: \frac{e^{i (1+k)z}}{z} = i \int_0^{\pi} d \theta e^{i (1+k) R (\cos{\theta} + i \sin{\theta})} $$
$$ = i \int_0^{\pi} d \theta e^{i (1+k) R \cos{\theta}} e^{-(1+k) R \sin{\theta}} $$
By Jordan's lemma, this integral vanishes as $R \rightarrow \infty$ when $1+k > 0$. On the other hand,
$$ \int_{C_r} dz \: \frac{e^{i (1+k) z}}{z} = i \int_{\pi}^0 d \phi \: e^{i (1+k) r e^{i \phi}} $$
This integral takes the value $-i \pi$ as $r \rightarrow 0$. We may then say that
$$\begin{align} & \int_{-\infty}^{\infty} dx \: \frac{e^{i (1+k) x}}{x} = i \pi & 1+k > 0\\ \end{align}$$
When $1+k < 0$, Jordan's lemma does not apply, and we need to use another contour. A contour for which Jordan's lemma does apply is one flipped about the $\Re{z}=x$ axis. By using similar steps as above, it is straightforward to show that
$$\begin{align} & \int_{-\infty}^{\infty} dx \: \frac{e^{i (1+k) x}}{x} = -i \pi & 1+k < 0\\ \end{align}$$
Using a similar analysis as above, we find that
$$\int_{-\infty}^{\infty} dx \: \frac{e^{-i (1-k) x}}{x} = \begin{cases} -i \pi & 1-k < 0 \\ i \pi & 1-k >0 \\ \end{cases} $$
We may now say that
$$\hat{f}(k) = \int_{-\infty}^{\infty} dx \: \frac{\sin{x}}{x} e^{i k x} = \begin{cases} \pi & |k| < 1 \\ 0 & |k| > 1 \\ \end{cases} $$
To translate to your definition of the FT, divide the RHS by $\sqrt{2 \pi}$.
Best Answer
First we consider the case $m=0$ and $n=1$, i.e. $f(x) := \exp(-x^2)$ and $$\hat{f}(k) := \int_{\mathbb{R}} f(x) \cdot e^{-\imath \, k x} \, dx = \int_{\mathbb{R}} \exp \left(-x^2 \right) \cdot e^{-\imath \, k \cdot x} \, dx.$$ Differentiating with respect to $k$ yields $$\frac{d}{dk} \hat{f}(k) = \int_{\mathbb{R}} e^{-x^2} \cdot (-\imath \, x) \cdot e^{-\imath \, k x} \, dx = \frac{1}{2} \imath \int_{\mathbb{R}} \left( \frac{d}{dx} e^{-x^2} \right) \cdot e^{-\imath \, k x} \, dx.$$
Applying the integration by parts formula, we obtain
$$\frac{d}{dk} \hat{f}(k) = - \frac{1}{2} k \cdot \int_{\mathbb{R}} e^{-x^2} \cdot e^{-\imath \, k \, x} \, dx =- \frac{1}{2} k \cdot \hat{f}(k).$$
The unique solution to this ordinary differential equation is given by
$$\hat{f}(k) =c \cdot \exp \left(- \frac{k^2}{4} \right).$$
Since $c=\hat{f}(0) = \int_{\mathbb{R}} f(x) \, dx$, it follows that $c = \sqrt{\pi}$. Moreover, applying the following well-known formulas
$$\begin{align} \widehat{f(x+m)}(k) &= e^{\imath \, k \cdot m} \hat{f}(k) \\ \widehat{f(\alpha \cdot x)}(k) &= \frac{1}{\alpha} \cdot \hat{f} \left( \frac{k}{\alpha} \right) \qquad \alpha>0, \end{align}$$
one can calculate the fourier transform of $f(x) = \exp \left(-n^2 \cdot (x-m)^2 \right)$ by some straight-forward computations.