Numerical integration rules for multivariate inversions

DOI10.1080/00949659108811337zbMath0800.62269OpenAlexW2128367097WikidataQ57259052 ScholiaQ57259052MaRDI QIDQ3135446

N. G. Shephard

Publication date: 7 October 1993

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:da00666a-4790-4666-a54c-b81fc6fc49cb

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Numerical integration (65D30) Probabilistic methods, stochastic differential equations (65C99)

Related Items (3)

A numerical inversion of the bivariate characteristic function ⋮ A fast Fourier transform technique for pricing American options under stochastic volatility ⋮ Saddlepoint approximations to option price in a general equilibrium model

Cites Work

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• Approximate Fourier analysis of distribution functions
• A note on the joint distribution of correlated quadratic forms
• Fast Evaluation of the Distribution of the Durbin-Watson and Other Invariant Test Statistics in Time Series Regression
• Approximations for densities of sufficient estimators
• Computing the distribution of quadratic forms in normal variables
• Numerical inversion of a characteristic function
• Inversion Formulae for the Distribution of Ratios

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