Numerical Inversion Methods for Computing Approximate p-Values

Authors:
Hiroyuki Kawakatsu
Affiliations:
School of Management and Economics, Queen's University, Belfast, Belfast, Northern Ireland
Venue:
Computational Economics
Year:
2005

Citing 3
Cited 0

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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.