NUMERICAL EVALUATION OF CUMULATIVE PROBABILITY DISTRIBUTION FUNCTIONS DIRECTLY FROM CHARACTERISTIC FUNCTIONS
- 11 August 1969
- report
- Published by Defense Technical Information Center (DTIC)
Abstract
A method for direct numerical evaluation of the cumulative probability distribution function from the characteristic function in terms of a single integral is presented. No moment evaluations or series expansions are required. Intermediate evaluation of the probability density function is circumvented. The method takes on a special form when the random variables are discrete.Keywords
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