Numerical inversion of a class of characteristic functions

DOI10.1007/BF01933000MaRDI QIDQ4069673zbMATH OpenOpenAlexFDO

Authors 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

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

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

Cited in

(5)

• Numerical computation of the Fourier transform using Laguerre functions and the fast Fourier transform
• The Fourier-series method for inverting transforms of probability distributions
• Likelihood ratio tests for elaborate covariance structures and for MANOVA models with elaborate covariance structures -- a review
• From characteristic functions to multivariate distribution functions and European option prices by the (damped) COS method
• Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes

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