2024/10/06 by Xiaoyu Shen, Fang Fang, Shen, Xiaoyu +2
Computer Science · Mathematics · #Bayesian Methods and Mixture Models #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Numerical Analysis (math.NA) #Statistical Methods and Inference
paper · pdf · doi:10.48550/arxiv.2410.04487
openalex publication_date 2024/10/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.