Abstract
This paper discusses simulation from an absolutely continuous distribution on the positive real line when the Laplace transform of the distribution is known but its density and distribution functions may not be available. We advocate simulation by the inversion method using a modified Newton-Raphson method, with values of the distribution and density functions obtained by numerical transform inversion. We show that this algorithm performs well in a series of increasingly complex examples. Caution is needed in some situations when the numerical Laplace transform inversion becomes unreliable. In particular the algorithm should not be used for distributions with finite range. But otherwise, except for rather pathological distributions, the approach offers a rapid way of generating random samples with minimal user effort. We contrast our approach with an alternative algorithm due to Devroye (Comput. Math. Appl. 7, 547–552, 1981).
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Ridout, M.S. Generating random numbers from a distribution specified by its Laplace transform. Stat Comput 19, 439 (2009). https://doi.org/10.1007/s11222-008-9103-x
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DOI: https://doi.org/10.1007/s11222-008-9103-x