On the Fast Fourier Transform Inversion of Probability Generating Functions

DOI10.1093/IMAMAT/22.3.275MaRDI QIDQ4176930zbMATH OpenOpenAlexFDO

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

This page was built for publication: On the Fast Fourier Transform Inversion of Probability Generating Functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4176930)