| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1151377 | Statistics & Probability Letters | 2015 | 7 Pages |
Abstract
Given the density function or the characteristic function of a random variable, we propose an analytical approximation for its distorted expectation by using the fast Fourier transform algorithm. This approach can be used in various applications involving distorted expectations.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Xianming Sun, Siqing Gan, Michèle Vanmaele,