Alternate Forms and Computational Considerations for Numerical Evaluation of Cumulative Probability Distributions Directly from Characteristic Functions

Abstract

Alternate integral forms for the cumulative probability distribution in terms of the characteristic function are given. In particular, forms that can utilize a fast Fourier transform (FFT) algorithm and special forms for one-sided probability density functions are derived. For a special class of discrete random variables, all integral evaluations are over a finite range. Some computational aspects of utilizing the FFT are discussed.

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Document Details

Document Type
Technical Report
Publication Date
Aug 12, 1970
Accession Number
AD0714792

Entities

People

  • Albert H. Nuttall

Organizations

  • Naval Underwater Systems Center

Tags

DTIC Thesaurus Topics

  • Abstracts
  • Algorithms
  • Convolution Integrals
  • Discrete Distribution
  • Distribution Functions
  • Equations
  • Fast Fourier Transforms
  • Frequency Domain
  • Integrals
  • New York
  • Probability
  • Probability Density Functions
  • Probability Distributions
  • Random Variables
  • Test And Evaluation

Fields of Study

  • Mathematics

Readers

  • Finite Element Method (FEM) for solving Partial Differential Equations (PDEs)
  • Statistical inference.