From characteristic function to distribution function via fourier analysis |
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| Authors: | Harald Bohman |
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| Affiliation: | (1) Skandia Insurance Co Ltd, P. O. Box, S 103 60 Stockholm 3, Sweden |
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| Abstract: | ![]()
In this paper characteristic functions of probability distributions are considered. The numerical calculation of the distribution function when the characteristic function is known is discussed and two different methods are presented. |
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| Keywords: | Numerical Fourier inversion Fast Fourier Transform characteristic functions distribution functions |
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