High-Resolution Tensor-Network Fourier Methods for Exponentially Compressed Non-Gaussian Aggregate Distributions

Characteristic functions of weighted sums of independent random variables exhibit low-rank structure in the quantized tensor train (QTT) representation, also known as matrix product states (MPS), enabling up to exponential compression of their fully non-Gaussian probability distributions. Under variable independence, the global characteristic function factorizes into local terms. Its low-rank QTT structure arises from intrinsic spectral smoothness in continuous models, or from spectral energy concentration as the number of components D grows in discrete models. We demonstrate this on weighted sums of Bernoulli and lognormal random variables. In the former, despite an adversarial, incompressible small-D regime, the characteristic function undergoes a sharp bond-dimension collapse for D gtrsim 300 components, enabling polylogarithmic time and memory scaling. In the latter, the approach reaches high-resolution discretizations of N = 230 frequency modes on standard hardware, far beyond the N = 224 ceiling of dense implementations. These compressed representations enable efficient computation of Value at Risk (VaR) and Expected Shortfall (ES), supporting applications in quantitative finance and beyond.