Improved FFT approximations of probability functions based on modified quadrature rules

DOI10.12988/IMF.2013.13087zbMath1292.65147OpenAlexW2508431717MaRDI QIDQ5402016

Werner Hürlimann

Publication date: 12 March 2014

Published in: International Mathematical Forum (Search for Journal in Brave)

Full work available at URL: http://www.m-hikari.com/imf/imf-2013/17-20-2013/hurlimannIMF17-20-2013.pdf

zbMATH Keywords

fast Fourier transformdiscrete Fourier transformtotal variation distancemodified Simpson ruleoptimal 3-point quadrature ruleprobability density approximation

Mathematics Subject Classification ID

Numerical methods for discrete and fast Fourier transforms (65T50) Approximations to statistical distributions (nonasymptotic) (62E17) Approximate quadratures (41A55)

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