The Fourier Cosine Method for Discrete Probability Distributions
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866910640797384704 |
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| author | Shen, Xiaoyu Fang, Fang Liu, Chengguang |
| author_facet | Shen, Xiaoyu Fang, Fang Liu, Chengguang |
| contents | We provide a rigorous convergence proof demonstrating that the well-known semi-analytical Fourier cosine (COS) formula for the inverse Fourier transform of continuous probability distributions can be extended to discrete probability distributions, with the help of spectral filters. We establish general convergence rates for these filters and further show that several classical spectral filters achieve convergence rates one order faster than previously recognized in the literature on the Gibbs phenomenon. Our numerical experiments corroborate the theoretical convergence results. Additionally, we illustrate the computational speed and accuracy of the discrete COS method with applications in computational statistics and quantitative finance. The theoretical and numerical results highlight the method's potential for solving problems involving discrete distributions, particularly when the characteristic function is known, allowing the discrete Fourier transform (DFT) to be bypassed. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2410_04487 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | The Fourier Cosine Method for Discrete Probability Distributions Shen, Xiaoyu Fang, Fang Liu, Chengguang Numerical Analysis Computational Finance We provide a rigorous convergence proof demonstrating that the well-known semi-analytical Fourier cosine (COS) formula for the inverse Fourier transform of continuous probability distributions can be extended to discrete probability distributions, with the help of spectral filters. We establish general convergence rates for these filters and further show that several classical spectral filters achieve convergence rates one order faster than previously recognized in the literature on the Gibbs phenomenon. Our numerical experiments corroborate the theoretical convergence results. Additionally, we illustrate the computational speed and accuracy of the discrete COS method with applications in computational statistics and quantitative finance. The theoretical and numerical results highlight the method's potential for solving problems involving discrete distributions, particularly when the characteristic function is known, allowing the discrete Fourier transform (DFT) to be bypassed. |
| title | The Fourier Cosine Method for Discrete Probability Distributions |
| topic | Numerical Analysis Computational Finance |
| url | https://arxiv.org/abs/2410.04487 |