April 28th
Today I learned that the Fourier transform for finite fields behaves as it does in local fields, from here . Two or so weeks ago we classified characters over finite fields $\FF_q$ as being generated by a nontrivial character $\psi_0:\FF_q\to\CC^\times,$ from which all characters take the form $x\mapsto\psi_0(ax)$ for some $a\in\FF_q.$
Because $\widehat{\FF_q}\cong\FF_q$ as Pontryagin duals, our theory of Fourier transforms is reasonably well-behaved. We don't have to think too hard about the necessary Haar measure because $\FF_q$ is a discrete topological space, so it adopts the counting measure. The "correct'' scale factor is as follows.
Definition. We define the Fourier transform for $f:\FF_q\to\CC$ as \[\hat f(y):=\int_{\FF_q}f(x)\psi_0(-xy)\,dx=\frac1{\sqrt q}\sum_{x\in\FF_q}f(x)\psi_0(-xy),\] given a nontrivial character $\psi_0:\FF_q\to\CC^\times.$ We will usually fix $\psi_0(x):=e^{2\pi i\op{Trace}_{\FF_q/\FF_p}(x)/p}.$
Observe that we don't have to worry about convergence issues because all sums are finite, which is much nicer than usual.
While the $1/\sqrt q$ might appear annoying, it's the correct thing to do under the isomoprhism $\FF_q\cong\widehat{\FF_q}.$ While we're in the Fourier world, this scale factor is what makes things behave. Indeed, we have the following.
Proposition. We have that $\hat{\hat f}(x)=f(-x).$
Technically we only have to check this for a single nonzero $f$ to make sure we got the $1/\sqrt q$ scale factor, but we will go through the entire thing. Anyways, this is a matter of pushing everything through. Observe that\[\hat{\hat f}(x)=\frac1{\sqrt q}\sum_{y\in\FF_q}\hat f(y)\psi_0(-xy)=\frac1q\sum_{y,z\in\FF_q}f(z)\psi_0(-xy)\psi_0(-zy).\]Rearranging the sum, we have\[\hat{\hat f}(x)=\frac1q\sum_{z\in\FF_q}f(z)\left(\sum_{y\in\FF_q}\psi_0(-(z+x)y)\right)\]because $\psi_0$ is an additive character. Now, $y\mapsto\psi_0(-(z+x)y)$ is just another character, which we will call $\psi.$ We have two cases.
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If $z=-x,$ then $\psi(y)=1$ always, in which case, the inner sum $\sum_y\psi(y)$ is a full $q.$
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If $z\ne-x,$ then $\psi$ is a nontrivial character with, say, $\psi(a)\ne1.$ (Such $a$ exists because $\psi_0$ is a nontrivial character with, say, $\psi_0(a_0)\ne1,$ so we can use $a:=-a_0(z+x)^{-1}.$) However, $a\ne0,$ so addition by $a$ bijects $\FF_q,$ implying \[\psi(a)\sum_{y\in\FF_q}\psi(y)=\sum_{y\in\FF_q}\psi(a+y)=\sum_{y\in\FF_q}\psi(y).\] This rearranges to $(\psi(a)-1)\sum_y\psi(y)=0,$ so $\sum_y\psi(y)=0.$
Looking at the casework, we only care about the $z=-x$ case, in which case we have\[\hat{\hat f}(x)=\frac1q\cdot f(-x)\cdot q=f(-x),\]which is what we wanted. $\blacksquare$
While we're here, we pick up Parseval's identity, just to showcase how nice finite sums are.
Proposition. Given a function $f:\FF_q\to\CC,$ we have that \[\sum_{x\in\FF_q}|f(x)|^2=\sum_{y\in\FF_q}\left|\hat f(y)\right|^2.\]
There is some linear algebra going on in the background, as there usually is with Parseval's identity. Previously we proved that\[f(x)=\hat{\hat f}(-x)=\frac1{\sqrt q}\sum_{y\in\FF_q}\hat f(y)\psi(xy),\]which is our inverse Fourier transform; one can read this as saying the characters $x\mapsto\psi(ax)$ are a spanning set of vectors for the function $\FF_q\to\CC.$ If we use $\hat f(y)$ as coefficients, we can equip this space with an inner product and stuff, but we won't do so explicitly.
More directly, for $f,g:\FF_q\to\CC,$\[\sum_{x\in\FF_q}f(x)\overline{g(x)}=\sum_{x\in\FF_q}\left(\frac1{\sqrt q}\sum_{y\in\FF_q}\hat f(y)\psi(xy)\right)\left(\frac1{\sqrt q}\sum_{z\in\FF_q}\overline{\hat g(z)}\overline{\psi(xz)}\right).\]This sum rearranges into\[\sum_{x\in\FF_q}f(x)\overline{g(x)}=\sum_{y,z\in\FF_q}\hat f(y)\overline{\hat g(z)}\left(\frac1q\sum_{x\in\FF_q}\psi(x(y-z))\right).\]Now, when $y\ne z,$ this inner sum vanishes, which we showed in the casework of the previous proposition because it is a sum over a nontrivial character. When $y=z,$ the inner sum is $\frac1q\cdot q=1,$ and we get\[\sum_{x\in\FF_q}f(x)\overline{g(x)}=\sum_{y\in\FF_q}\hat f(y)\overline{\hat g(y)}.\]Plugging in $g=f$ gives the desired. $\blacksquare$
Just to say that I did, we wrote down\[\sum_{x\in\FF_q}f(x)\overline{g(x)},\]which is in fact the inner product described. Observe that orthogonality of characters is with respect to this inner product: if we fix $a,b\in\FF_1$ and consider the characters $x\mapsto\psi_0(ax)$ and $x\mapsto\psi_0(bx),$ then\[\sum_{x\in\FF_q}\psi_0(ax)\overline{\psi_0(bx)}=\sum_{x\in\FF_q}\psi((a-b)x)=q\cdot1_{a=b}.\]All of this is the usual theory with Fourier transforms or even representation of finite groups, but it's especially nice with our finite sums and well-behaved character groups.