Numerical approximation of probability mass functions via the inverse discrete Fourier transform

DOI10.1007/s11009-013-9366-3zbMath1323.65005arXiv1212.6546OpenAlexW2949514193MaRDI QIDQ2513667

Richard L. Warr

Publication date: 28 January 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.6546

zbMATH Keywords

fast Fourier transformcharacteristic functiondiscrete Fourier transformsemi-Markov processfirst passage distribution

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Markov renewal processes, semi-Markov processes (60K15) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items

Likelihood computation in the normal-gamma stochastic frontier model, Error bounds for cumulative distribution functions of convolutions via the discrete Fourier transform, Using semi-Markov chains to solve semi-Markov processes

Uses Software

• R

Cites Work

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