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Numerical Inversion Methods for Computing Approximate p-Values

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  • Hiroyuki Kawakatsu

Abstract

The paper considers the problem of computing p-values of non-standard distributions for which the characteristic function is available in closed form. When the characteristic function is a multivalued complex function, the standard numerical inversion method needs to be used with care as the integrand may become discontinous due to branch cuts. An alternative inversion method based on the Gaver-Wynn-Rho algorithm is shown to be a general and effective solution to the discontinuity problem as it works with real-valued functions. The method is illustrated with two well-known time series tests with non-standard distributions. Copyright Springer Science+Business Media, Inc. 2005

Suggested Citation

  • Hiroyuki Kawakatsu, 2005. "Numerical Inversion Methods for Computing Approximate p-Values," Computational Economics, Springer;Society for Computational Economics, vol. 26(3), pages 103-116, November.
    • Handle: RePEc:kap:compec:v:26:y:2005:i:3:p:103-116
    DOI: 10.1007/s10614-005-9011-5
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    References listed on IDEAS

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