VoseAggregateFFT

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See also: Vose Aggregate FFT window

=VoseAggregateFFT(Frequency distribution, Severity distribution, Density, U)

The Aggregate FFT window

Calculates the aggregate distribution using the Fast Fourier Transform method.

• Frequency distribution - a discrete distribution object.

• Severity distribution - a continuous distribution object.

• Density - an optional accuracy parameter

• U - optional parameter specifying the cumulative percentile of the distribution. If omitted the function generates random values.

In the FFT algorithm the severity distribution is divided into a number m=2^n of discrete steps. By default n=12 is chosen. Optionally n can be increased with the 'Density level' field: increasing n by one doubles the number of discrete steps, yielding a higher accuracy at the cost of a slower calculation. This can be necessary when working with a long-tailed severity distribution.

In the Aggregate FFT window you can compare the aggregate FFT moments with the exact moments in the summary stats table ('FFT' and 'Exact' columns) to check the calculation's accuracy with the chosen density level, and increase if necessary.

See Aggregate modeling - Fast Fourier Transform (FFT) method for an in-depth explanation of this method.

VoseFunctions for this custom distribution

VoseAggregateFFT generates values from this distribution or calculates a percentile.

VoseAggregateFFTObject constructs a distribution object for this distribution.

VoseAggregateFFTProb returns the probability density or cumulative distribution function for this distribution.

VoseAggregateFFTProb10 returns the log10 of the probability density or cumulative distribution function.