Numerical inversion of a class of characteristic functions

DOI10.1007/BF01933000zbMath0311.65012OpenAlexW2003156067MaRDI QIDQ4069673

Benno Schorr

Publication date: 1975

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01933000

Mathematics Subject Classification ID

Computation of special functions and constants, construction of tables (65D20) Integral transforms of special functions (44A20) Other transforms and operators of Fourier type (43A32)

Related Items (4)

Numerical computation of the Fourier transform using Laguerre functions and the fast Fourier transform ⋮ Likelihood ratio tests for elaborate covariance structures and for MANOVA models with elaborate covariance structures -- a review ⋮ The Fourier-series method for inverting transforms of probability distributions ⋮ Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes

Cites Work

• A method to calculate the distribution function when the characteristic function is known
• From characteristic function to distribution function via fourier analysis
• Numerical inversion of a characteristic function

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