| Autor: |
Beylkin, Gregory, Monzon, Lucas, Satkauskas, Ignas |
| Rok vydání: |
2017 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| DOI: |
10.1016/j.acha.2018.01.002 |
| Popis: |
We introduce a new functional representation of probability density functions (PDFs) of non-negative random variables via a product of a monomial factor and linear combinations of decaying exponentials with complex exponents. This approximate representation of PDFs is obtained for any finite, user-selected accuracy. Using a fast algorithm involving Hankel matrices, we develop a general numerical method for computing the PDF of the sums, products, or quotients of any number of non-negative random variables yielding the result in the same type of functional representation. We present several examples to demonstrate the accuracy of the approach. |
| Databáze: |
arXiv |
| Externí odkaz: |
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