Chebyshev approximation of the distribution function of nonnegative random variables

DOI10.1007/BF02366534MaRDI QIDQ1364084zbMATH OpenOpenAlexFDO

Authors I. M. Kovalenko, A. N. Nakonechnyj, A. B. Romanov

Publication date 17 February 1998

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02366534

Chebyshev expansion distribution function Renyi theorem

Approximation by polynomials (41A10) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Fourier series in special orthogonal functions (Legendre polynomials, Walsh functions, etc.) (42C10) Asymptotic distribution theory in statistics (62E20)

Review text

Let \(F(z)\), \(z\geq 0\), be a distribution function, \(F(0)=0\), \(F(+\infty)=1\) and denote \(f(x):= F(\ln(2/(1-x))\), \(x\in [-1,1]\). If \(F\) is continuous, consider the Chebyshev expansion of the function \(f\) \[ f(x)= (1/2)a_0(f)+ \sum_{k=1}^\infty a_k(f)T_k(x), \qquad\text{where}\quad x\in[-1,1], \] \(T_k\) are the Chebyshev polynomials and \[ a_k(f)= (2/\pi) \int_{-1}^1 (1-x^2)^{-1/2} f(x)T_k(x)dx, \qquad k\geq 0. \] Denote \(\varphi(j):= \int_0^\infty \exp(-jx)dF(x)\), \(j\geq 1\). By using the partial sums of the Chebyshev expansion of \(f\), one derives linear systems for computing the coefficients \(a_k(f)\) in terms of the numbers \(\varphi(j)\). Then, by retaining the partial sums of the Chebyshev series, one obtains approximations for \(F(z)\). The sharpness of this type of approximation is pointed out in the case of approximation with four terms, by considering some examples and comparing them with other methods.

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