Improved FFT approximations of probability functions based on modified quadrature rules
DOI10.12988/IMF.2013.13087zbMATH Open1292.65147OpenAlexW2508431717MaRDI QIDQ5402016FDOQ5402016
Publication date: 12 March 2014
Published in: International Mathematical Forum (Search for Journal in Brave)
Full work available at URL: http://www.m-hikari.com/imf/imf-2013/17-20-2013/hurlimannIMF17-20-2013.pdf
discrete Fourier transformfast Fourier transformtotal variation distancemodified Simpson ruleoptimal 3-point quadrature ruleprobability density approximation
Approximations to statistical distributions (nonasymptotic) (62E17) Approximate quadratures (41A55) Numerical methods for discrete and fast Fourier transforms (65T50)
Cited In (5)
- A new method for fast computation of cumulative distribution functions by fractional FFT
- Fourier transformation can improve quadrature efficiency of Laplace distribution
- Computing the exact distribution of the Bartlett's test statistic by numerical inversion of its characteristic function
- An improved FFT-based version of Ramaswami's formula
- Simulation methods and error analysis for trawl processes and ambit fields
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