B1607
Title: CharFunTool: The characteristic functions toolbox
Authors: Viktor Witkovsky - Slovak Academy of Sciences (Slovakia) [presenting]
Abstract: CharFunTool is a MATLAB repository of characteristic functions and tools for their combinations and numerical inversion.The Characteristic Functions Toolbox (CharFunTool) consists of a set of algorithms for evaluating selected characteristic functions and algorithms for numerical inversion of the combined and/or compound characteristic functions, used to evaluate the cumulative distribution function (CDF), the probability density function (PDF), and/or the quantile function (QF).The toolbox comprises different inversion algorithms, including those based on simple trapezoidal quadrature rule for computing the integrals defined by the Gil-Pelaez formulae, and/or based on using the FFT algorithm for computing the Fourier transform integrals.We shall present basic functionality of the toolbox and illustrate its usage for selected statistical applications. For current status of the MATLAB toolbox see the CharFunTool development available at https://github.com/witkovsky/CharFunTool.
