Title :
Numerical evaluation of cumulative probability distribution functions directly from characteristic functions
Abstract :
A method for direct numerical evaluation of the cumulative probability distribution function from the characteristic function in terms of a single integral is presented. No moment evaluation or series expansions are required. Intermediate evaluation of the probability density function is circumvented. The method takes on a special form when the random variables are discrete.
Keywords :
Closed-form solution; Density functional theory; Distributed computing; Exponential distribution; Integral equations; Out of order; Probability density function; Probability distribution; Random variables; Statistical distributions;
Journal_Title :
Proceedings of the IEEE
DOI :
10.1109/PROC.1969.7468
