On the Fast Fourier Transform Inversion of Probability Generating Functions

DOI10.1093/IMAMAT/22.3.275zbMATH Open0394.65053OpenAlexW2162877069MaRDI QIDQ4176930FDOQ4176930

Authors: James K. Cavers 

Publication date: 1978

Published in: IMA Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imamat/22.3.275

zbMATH Keywords

Fast Fourier TransformErrorsInvert Z TransformsNumerical Tool in Queuing and Other Statistical AnalysisProbability Generating FunctionsRound-Off

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Numerical methods for trigonometric approximation and interpolation (65T40) Queueing theory (aspects of probability theory) (60K25)

Cited In (6)

• Numerical inversion of probability generating functions
• Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
• Exact solution of a two-type branching process: clone size distribution in cell division kinetics
• Error-induced extinction in a multi-type critical birth-death process
• The Fourier-series method for inverting transforms of probability distributions
• Queue length distributions from probability generating functions via discrete Fourier transforms

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