Precise quantile function estimation from the characteristic function

被引:0
|
作者
Junike, Gero [1 ]
机构
[1] Carl von Ossietzky Univ Oldenburg, Inst Math, D-26129 Oldenburg, Germany
关键词
Quantile function; Numerical inversion; Characteristic function; DISTRIBUTIONS;
D O I
10.1016/j.spl.2025.110395
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We provide theoretical error bounds for the accurate numerical computation of the quantile function given the characteristic function of a continuous random variable. We show theoretically and empirically that the numerical error of the quantile function is typically several orders of magnitude larger than the numerical error of the cumulative distribution function for probabilities close to zero or one. We introduce the COS method for computing the quantile function. This method converges exponentially when the density is smooth and has semi-heavy tails and all parameters necessary to tune the COS method are given explicitly. Finally, we numerically test our theoretical results on the normal-inverse Gaussian and the tempered stable distributions.
引用
收藏
页数:5
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