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A Laplace transform inversion method for probability distribution functions

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Abstract

This paper introduces a new Laplace transform inversion method designed specifically for when the target function is a probability distribution function. In particular, we use fixed point theory and Mann type iterative algorithms to provide a means by which to estimate and sample from the target probability distribution.

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Notes

  1. An open source software for numerical computation, www.scilab.org.

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Acknowledgments

I am very grateful for the comments and suggestions of two anonymous referees on an earlier version of the paper.

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  1. Department of Mathematics, University of Texas, Austin, USA

    Stephen G. Walker

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  1. Stephen G. Walker
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Correspondence to Stephen G. Walker.

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Walker, S.G. A Laplace transform inversion method for probability distribution functions. Stat Comput 27, 439–448 (2017). https://doi.org/10.1007/s11222-016-9631-8

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  • DOI: https://doi.org/10.1007/s11222-016-9631-8

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