Computation of Tail Probabilities via Extrapolation Methods and Connection with Rational and Padé Approximants

DOI10.1137/100803778zbMath1241.65018OpenAlexW1999610348MaRDI QIDQ2882803

Hassan Safouhi, Philippe J. Gaudreau, Richard Mikael Slevinsky

Publication date: 7 May 2012

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100803778

zbMATH Keywords

algorithmnumerical examplessymbolic computationnormal distributioninverse Gaussian distributionextrapolation methodsStudent's \(t\)-distributionSlevinsky-Safouhi formulae\(G\) transformationtails of probability distributionsFisher's \(F\) distributionrational and Padé approximants

Mathematics Subject Classification ID

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Useful properties of the coefficients of the Slevinsky-Safouhi formula for differentiation ⋮ A recursive algorithm for an efficient and accurate computation of incomplete Bessel functions ⋮ A sharp Pólya-based approximation to the normal cumulative distribution function ⋮ A comparative study of numerical steepest descent, extrapolation, and sequence transformation methods in computing semi-infinite integrals ⋮ Fast and accurate algorithms for the computation of spherically symmetric nonlocal diffusion operators on lattices

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