1969•Proceedings of the IEEERequires access
Numerical evaluation of cumulative probability distribution functions directly from characteristic functions
Albert H. Nuttall
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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.