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A method to calculate the distribution function when the characteristic function is known

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Abstract

A formula for numerical inversion of characteristic functions based on the Poisson formula is presented, and a numerical example is also given.

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References

  • H. Bohman,Approximate Fourier analysis of distribution functions, Arkiv för matematik 4:10.

  • H. Bohman,To Compute the Distribution Function when the Characteristic Function is Known, Skandinavisk Aktuarietidskrift 1963

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Authors and Affiliations

  1. Skandia Insurance Company, P.O. Box, S-103 60, Stockholm 3, Sweden

    Harald Bohman

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  1. Harald Bohman
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Bohman, H. A method to calculate the distribution function when the characteristic function is known. BIT 10, 237–242 (1970). https://doi.org/10.1007/BF01934194

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  • DOI: https://doi.org/10.1007/BF01934194

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