A Laplace transform inversion method for probability distribution functions

Walker Stephen G.

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A Laplace transform inversion method for probability distribution functions

机译：概率分布函数的拉普拉斯变换反演方法

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摘要

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.

机译：本文介绍了一种新的拉普拉斯变换反演方法，该方法专为目标函数为概率分布函数而设计。特别是，我们使用定点理论和Mann型迭代算法来提供一种从目标概率分布进行估计和采样的方法。

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来源
《Statistics and computing》 |2017年第2期|439-448|共10页
作者
Walker Stephen G.;
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作者单位

Univ Texas Austin, Dept Math, Austin, TX 78712 USA;

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原文格式 PDF
正文语种 eng
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关键词
Recursive estimation; Fixed point solution;

机译：递归估计;定点解;

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专利

1. Laplace transforms of probability distributions and their inversions are easy on logarithmic scales [J] . Rossberg AG Journal of Applied Probability . 2008,第2期

机译：概率分布的Laplace变换及其反演在对数尺度上很容易
2. Bounds for characteristic functions and Laplace transforms of probability distributions [J] . Zhang Z. Theory of probability and its applications . 2011,第2期

机译：特征函数的界线和概率分布的拉普拉斯变换
3. BOUNDS FOR CHARACTERISTIC FUNCTIONS AND LAPLACE TRANSFORMS OF PROBABILITY DISTRIBUTIONS [J] . ZHANG.Z Теория вероятностей и ее применения . 2011,第2期

机译：概率分布的特征函数和Laplace变换的界
4. Recent developments related to the numerical inversion of a laplace transform function: the real inversion problem [C] . Luisa DAmore, Almerico Murli, Mariarosaria Rizzardi International conference on inverse problems in engineering : Theory and practice . 1998

机译：与拉普拉斯变换函数的数值反演有关的最新进展：真正的反演问题
5. Numerical inversion of Laplace transforms by the trapezoidal-type methods. [D] . Lin, FuSen Frank. 2004

机译：梯形法对Laplace变换进行数值反演。
6. Approximation of the ruin probability using the scaled Laplace transform inversion [O] . Robert M. Mnatsakanov, Khachatur Sarkisian, Artak Hakobyan -1

机译：使用缩放的拉普拉斯变换反演近似破产概率
7. Laplace Transforms of Probability Distributions and Their Inversions are Easy on Logarithmic Scales [O] . A. G. Rossberg 2008

机译：LAPPALL的概率分布变换及其反转易于对数尺度很容易
8. A Method of Sampling Certain Probability Densities Without Inversion of Their Distribution Functions [R] . C. J. Everett, E. D. Cashwell, G. D. Turner 1973

机译：一种在不反转其分布函数的情况下对某些概率密度进行抽样的方法

A Laplace transform inversion method for probability distribution functions

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