On the Fast Fourier Transform Inversion of Probability Generating Functions
- 1 November 1978
- journal article
- Published by Oxford University Press (OUP) in IMA Journal of Applied Mathematics
- Vol. 22 (3) , 275-282
- https://doi.org/10.1093/imamat/22.3.275
Abstract
The fast Fourier transform can be used to invert z transforms (including probability generating functions), but this application has received little attention or use. This correspondence makes a case for the FFT as a standard numerical tool in queuing and other statistical analyses in order to obtain probability density functions quickly and easily. Round-off and aliasing errors are discussed briefly for the queuing analyst without a signal processing background. Several variations are described which extend the accuracy and the utility of the method.Keywords
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