Linear Approximations of Probability Density Functions

Lee S. McDaniel, Andrew G. Glen and Lawrence M. Leemis ()
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Lee S. McDaniel: Loiusiana State University
Andrew G. Glen: The Colorado College
Lawrence M. Leemis: The College of William and Mary

Chapter 10 in Computational Probability Applications, 2017, pp 119-132 from Springer

Abstract: Abstract We develop a method for approximating the PDF of a continuous random variable with a piecewise-linear function. Four algorithms for choosing the endpoints of the linear segments are compared. The approximation is applied to estimating the convolution of two independent random variables.

Keywords: Convolutions; Optimization (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-319-43317-2_10

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DOI: 10.1007/978-3-319-43317-2_10

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