Error Bounds for Numerical Inversion of a Probability Characteristic Function

DOI10.1137/S003614299631085XzbMATH Open0912.65119OpenAlexW2046264513MaRDI QIDQ4210285FDOQ4210285

Paul Hughett

Publication date: 21 September 1998

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s003614299631085x

zbMATH Keywords

Hurwitz zeta functioncharacteristic functionerror boundsnumerical inversionFourier seriesfast Fourier transformprobability distributiontrigonometric approximationmean-square convergenceprobability densityminimax convergence

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Probabilistic methods, stochastic differential equations (65C99) Trigonometric approximation (42A10) Numerical methods for trigonometric approximation and interpolation (65T40)

Cited In (11)

• Numerical approximation of probability mass functions via the inverse discrete Fourier transform
• Error bounds for cumulative distribution functions of convolutions via the discrete Fourier transform
• Further results on the Beaulieu series
• Approximation and simulation of infinite-dimensional Lévy processes
• On some distributional properties of subordinated Gaussian random fields
• Inverse Tables of Probabilities of Errors of the Second Kind
• Implementable coupling of Lévy process and Brownian motion
• Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
• Title not available (Why is that?)
• CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process
• Theory and numerical analysis for exact distributions of functionals of a Dirichlet process

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