A method to calculate the distribution function when the characteristic function is known

DOI10.1007/BF01934194MaRDI QIDQ5606248zbMATH OpenOpenAlexFDO

Authors Harald Bohman

Publication date 1970

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01934194

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99)

Cited in

(5)

• The Fourier-series method for inverting transforms of probability distributions
• A new exponential GOF test for data subject to multiply type II censoring
• Numerical inversion of a class of characteristic functions
• A fast Monte Carlo scheme for additive processes and option pricing
• Convolution-t distributions

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