A numerical inversion of the bivariate characteristic function

Andjela Mijanović, Božidar V. Popović and Viktor Witkovský

Applied Mathematics and Computation, 2023, vol. 443, issue C

Abstract: We propose a numerical algorithm for the inversion of the bivariate characteristic function. This will allow the complex probability distribution specified by the characteristic function to be used in practise. Subsequently, it will be possible to create numerical algorithms for a copula function. We will also propose an algorithm for generating random numbers for the case where the bivariate distribution is specified by its characteristic function. This algorithm will be based on the conditional characteristic function. The concept and application of the algorithms will be illustrated using a version of the bivariate logistic distribution specified by its characteristic function.

Keywords: Numerical inversion; Bivariate characteristic function; MATLAB; Bivariate logistic distribution (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:443:y:2023:i:c:s009630032200875x

DOI: 10.1016/j.amc.2022.127807

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