On the Fast Fourier Transform Inversion of Probability Generating Functions |
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Authors: | CAVERS J K |
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Institution: |
Department of Systems Engineering and Computing Science, Carleton University Ottawa, Canada K1S 5B6
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Abstract: | The fast Fourier transform can be used to invert z transforms(including probability generating functions), but this applicationhas received little attention or use. This correspondence makesa case for the FFT as a standard numerical tool in queuing andother statistical analyses in order to obtain probability densityfunctions quickly and easily. Round-off and aliasing errorsare discussed briefly for the queuing analyst without a signalprocessing background. Several variations are described whichextend the accuracy and the utility of the method. |
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