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Fourier transformation can improve quadrature efficiency of Laplace distribution

Author

Listed:
  • Jinhyo Kim

    (Cheju National University)

  • Sangwon Seo

    (Seoul National University)

Abstract

Summary A numerical quadrature of a particular probability integral is concerned with using the Fourier transformation which smoothes the stiffness. The Fourier transformation of the Laplace distribution becomes, in a statistical sense, the Cauchy distribution. It is shown that the Gauss-Hermite quadrature of the Cauchy distribution, equivalent to the Fourier-transformed Laplace distribution, exhibits better numerical efficiency than the Gauss-Hermite quadrature of the untransformed Laplace distribution. A numerical example supports the analytic argument.

Suggested Citation

  • Jinhyo Kim & Sangwon Seo, 2001. "Fourier transformation can improve quadrature efficiency of Laplace distribution," Computational Statistics, Springer, vol. 16(2), pages 233-242, July.
    • Handle: RePEc:spr:compst:v:16:y:2001:i:2:d:10.1007_s001800100062
    DOI: 10.1007/s001800100062
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