inv_fft will be in the next release. I’m wondering if anyone could put together Stan code to show distribution convolutions or other examples? I’m no expert with these - let me know if the following things even make sense! - but interested in the applications and how this would look in Stan.
- GP speed ups from Grid based gaussian process speedup - #3 by pgree
- Convolution of probability distributions
- Signal processing
- Impulse response. Convolution of dirac delta “impulse” and a distribution. These are interesting in Economics and Marketing. Say you have a steady state and it is perturbed by an external force. How does that external force propagate through the steady state system over time? Supply shocks in Economics such as oil price shock or demand shocks such as interest rate changes. In Marketing, this could be introduction of advertising (as a demand shock) and how this effects sales.