Alternate forms for numerical evaluation of cumulative probability distributions directly from characteristic functions
- 1 January 1970
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in Proceedings of the IEEE
- Vol. 58 (11) , 1872-1873
- https://doi.org/10.1109/proc.1970.8054
Abstract
Alternate integral forms for the cumulative probability distribution in terms of the characteristic function are given. In particular, forms that can utilize a fast Fourier transform algorithm and special forms for one-sided probability density functions are derived. For a special class of discrete random variables, all integral evaluations are over a finite range.Keywords
This publication has 3 references indexed in Scilit:
- NUMERICAL EVALUATION OF CUMULATIVE PROBABILITY DISTRIBUTION FUNCTIONS DIRECTLY FROM CHARACTERISTIC FUNCTIONSPublished by Defense Technical Information Center (DTIC) ,1969
- Numerical evaluation of cumulative probability distribution functions directly from characteristic functionsProceedings of the IEEE, 1969
- Application of the fast Fourier transform to computation of Fourier integrals, Fourier series, and convolution integralsIEEE Transactions on Audio and Electroacoustics, 1967