Error Bounds for Numerical Inversion of a Probability Characteristic Function

DOI10.1137/S003614299631085XMaRDI QIDQ4210285zbMATH OpenOpenAlexFDO

Authors 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)

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Cited in

(14)

• 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
• Numerical inversion of a characteristic function
• Approximation and simulation of infinite-dimensional Lévy processes
• Inverting analytic characteristic functions and financial applications
• 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
• scientific article; zbMATH DE number 4066210 (Why is no real title available?)
• 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
• On the remainder term in the approximate Fourier inversion formula for distribution functions

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