Name
Abstract | ||
|---|---|---|
The computation of the cumulative distribution (cdf), the complementary cdf (ccdf), and the density of certain shot-noise random variables is discussed. After subtracting off a few terms that can be computed in closed form, what remains can be approximated by a general method for approximating samples of a cdf or ccdf by summing a Fourier series whose coefficients are modulated samples of their characteristic function. To approximate the density, a spline is fit to the cdf samples and then differentiated. When the density has corners, it is important that the spline have coincident knots at these locations. For shot-noise densities, these locations are easily identified. |
Year | DOI | Venue |
|---|---|---|
1996 | 10.1137/S1064827594268725 | SIAM Journal on Scientific Computing |
Keywords | Field | DocType |
filtered point process,Poisson process | Spline (mathematics),Random variable,Characteristic function (probability theory),Mathematical analysis,Point process,Stochastic process,Probability distribution,Fourier series,Cumulative distribution function,Mathematics | Journal |
Volume | Issue | ISSN |
17 | 3 | 1064-8275 |
Citations | PageRank | References |
15 | 3.53 | 4 |
Authors | ||
1 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| John A. Gubner | 1 | 119 | 11.14 |