Name
Abstract | ||
|---|---|---|
<P>It is known that probability density functions and probability mass functions usually can be calculated quite easily by numerically inverting their transforms (Laplace transforms and generating functions, respectively) with the Fourier-series method. Other more general functions can be substantially more difficult to invert, because the aliasing and roundoff errors tend to be more difficult to control. In this article we propose a simple new scaling procedure for nonprobability functions that is based on transforming the given function into a probability density function or a probability mass function and transforming the point of inversion to the mean. This new scaling is even useful for probability functions, because it enables us to compute very small values at large arguments with controlled relative error.</P> |
Year | DOI | Venue |
|---|---|---|
1997 | 10.1287/ijoc.9.2.175 | INFORMS Journal on Computing |
Keywords | Field | DocType |
numerical inversion of transforms,scaling,scaling for numerical transform inversion,mathematics,functions,generating functions,laplace transforms,laplace transform,generating function,probability mass function,probability density function,fourier series | Location parameter,Probability mass function,Discrete mathematics,Random variable,Characteristic function (probability theory),Probability distribution,Probability-generating function,Probability density function,Moment-generating function,Mathematics | Journal |
Volume | Issue | Citations |
9 | 2 | 6 |
PageRank | References | Authors |
1.19 | 7 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Gagan L. Choudhury | 1 | 445 | 75.32 |
| Ward Whitt | 2 | 3562 | 697.71 |