Numerical inversion of a characteristic function: An alternative tool to form the probability distribution of output quantity in linear measurement models

Viktor Witkovsky
<p><span>Measurement uncertainty analysis based on combining the state-of-knowledge distributions requires evaluation of the probability density function (PDF), the cumulative distribution function (CDF), and/or the quantile function (QF) of a random variable reasonably associated with the measurand. This can be derived from the characteristic function (CF), which is defined as a Fourier transform of its probability distribution function. Working with CFs provides an alternative and frequently
more » ... ive and frequently much simpler route than working directly with PDFs and/or CDFs. In particular, derivation of the CF of a weighted sum of independent random variables is a simple and trivial task. However, the analytical derivation of the PDF and/or CDF by using the inverse Fourier transform is available only in special cases. Thus, in most practical situations, a numerical derivation of the PDF/CDF from the CF is an indispensable tool. In metrological applications, such approach can be used to form the probability distribution for the output quantity of a measurement model of additive, linear or generalized linear form. In this paper we propose new original algorithmic implementations of methods for numerical inversion of the characteristic function which are especially suitable for typical metrological applications. The suggested numerical approaches are based on the Gil-Pelaez inverse formulae and on using the approximation by discrete Fourier transform and the fast Fourier transform (FFT) algorithm for computing PDF/CDF of the univariate continuous random variables. As illustrated here, for typical metrological applications based on linear measurement models the suggested methods are an efficient alternative to the standard Monte Carlo methods.</span></p>
doi:10.21014/acta_imeko.v5i3.382 fatcat:a6bprlm6kbbihgaxdoeei2vk5y