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Simpson's rule based FFT method to compute densities of stable distribution

机译:基于辛普森规则的FFT方法计算稳定分布的密度

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In recent years, more and more kinds of heavy-tailed distributions are used to model the distribution of microarray gene expression data. Stable distribution is an important type of heavy-tailed distributions. However, lack of closed-form density function blocks its application.In this paper, we derive the Simpson's rule based FFT method for computing the density of stable distribution and compare its accuracy with S. Mittnik's rectangle rule based FFT method. Results show that great improvement can be made using Simpson's rule.
机译:近年来,越来越多的重尾分布被用于模拟微阵列基因表达数据的分布。稳定的分布是重尾分布的一种重要类型。但是,由于缺乏封闭形式的密度函数,因此无法应用。本文推导了基于辛普森规则的FFT方法来计算稳定分布的密度,并将其精度与基于S. Mittnik的矩形规则的FFT方法进行了比较。结果表明,使用辛普森法则可以做出很大的改进。

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