NUMERICAL EVALUATION OF CUMULATIVE PROBABILITY DISTRIBUTION FUNCTIONS DIRECTLY FROM CHARACTERISTIC FUNCTIONS

Abstract

A method for direct numerical evaluation of the cumulative probability distribution function from the characteristic function in terms of a single integral is presented. No moment evaluations or series expansions are required. Intermediate evaluation of the probability density function is circumvented. The method takes on a special form when the random variables are discrete.

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Document Details

Document Type
Technical Report
Publication Date
Aug 11, 1969
Accession Number
AD0693991

Entities

People

  • Albert H. Nuttall

Organizations

  • Navy Underwater Sound Laboratory

Tags

Communities of Interest

  • Human Systems

DTIC Thesaurus Topics

  • Abstracts
  • Detection
  • Discontinuities
  • Discrete Distribution
  • Distribution Functions
  • Integrals
  • Intervals
  • Probability
  • Probability Density Functions
  • Probability Distribution Functions
  • Probability Distributions
  • Random Variables
  • Security
  • Target Detection
  • Test And Evaluation
  • Underwater Sound

Readers

  • Calculus or Mathematical Analysis
  • Regression Analysis.