Efficient inverse $Z$-transform and Wiener-Hopf factorization
Fuente:
arXiv
Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2024
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866911869440098304 |
|---|---|
| author | Boyarchenko, Svetlana Levendorskiĭ, Sergei |
| author_facet | Boyarchenko, Svetlana Levendorskiĭ, Sergei |
| contents | We suggest new closely related methods for numerical inversion of $Z$-transform and Wiener-Hopf factorization of functions on the unit circle, based on sinh-deformations of the contours of integration, corresponding changes of variables and the simplified trapezoid rule. As applications, we consider evaluation of high moments of probability distributions and construction of causal filters. Programs in Matlab running on a Mac with moderate characteristics achieves the precision E-14 in several dozen of microseconds and E-11 in several milliseconds, respectively. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2404_19290 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Efficient inverse $Z$-transform and Wiener-Hopf factorization Boyarchenko, Svetlana Levendorskiĭ, Sergei Numerical Analysis Computational Finance 60-08, 42A38, 42B10, 44A10, 65R10, 65G51, 91G20, 91G60 We suggest new closely related methods for numerical inversion of $Z$-transform and Wiener-Hopf factorization of functions on the unit circle, based on sinh-deformations of the contours of integration, corresponding changes of variables and the simplified trapezoid rule. As applications, we consider evaluation of high moments of probability distributions and construction of causal filters. Programs in Matlab running on a Mac with moderate characteristics achieves the precision E-14 in several dozen of microseconds and E-11 in several milliseconds, respectively. |
| title | Efficient inverse $Z$-transform and Wiener-Hopf factorization |
| topic | Numerical Analysis Computational Finance 60-08, 42A38, 42B10, 44A10, 65R10, 65G51, 91G20, 91G60 |
| url | https://arxiv.org/abs/2404.19290 |