On the discretisation error in the computation of the empirical characteristic function

DOI10.1080/00949659508811701MaRDI QIDQ4352556zbMATH OpenOpenAlexFDO

Authors Dinh Tuan Pham

Publication date 11 December 1997

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

Full work available at URL https://doi.org/10.1080/00949659508811701

zbMATH Keywords

binningdiscretisation errorempirical characteristic functionfast Fourier transformkernel density estimationpre-smoothing

Mathematics Subject Classification ID

Density estimation (62G07) Probabilistic methods, stochastic differential equations (65C99)

Recommendations

• Error Bounds for Numerical Inversion of a Probability Characteristic Function
• A new method for fast computation of cumulative distribution functions by fractional FFT
• Numerical approximation of probability mass functions via the inverse discrete Fourier transform
• Efficient And Precise Computation Of Convolutions: Applying Fft To Heavy Tailed Distributions

Cites work

• Algorithm AS 176: Kernel Density Estimation Using the Fast Fourier Transform
• Differences and derivatives in kernel estimation

Cited in

(1)

• Approximation, Randomization and Combinatorial Optimization. Algorithms and Techniques

This page was built for publication: On the discretisation error in the computation of the empirical characteristic function

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4352556)