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Discrete approximations to continuous univariate distributions—an alternative to simulation

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  • A. Luceño

Abstract

A method to replace a continuous univariate distribution with a discrete distribution that takes MN different values is analysed. Both distributions share the same rth moments for r=0, . . ., 2N−1 and their corresonding distribution functions coincide at least at M+1 points. Several statistical and engineering examples are considered in which the discrete approximation may be used to avoid a simulation study that would be much more demanding computationally.

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  • A. Luceño, 1999. "Discrete approximations to continuous univariate distributions—an alternative to simulation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(2), pages 345-352, April.
    • Handle: RePEc:bla:jorssb:v:61:y:1999:i:2:p:345-352
    DOI: 10.1111/1467-9868.00180
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    Cited by:

    1. Cordis, Adriana S. & Kirby, Chris, 2014. "Discrete stochastic autoregressive volatility," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 160-178.

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