A Laplace transform inversion method for probability distribution functions

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• 作者：Stephen G. Walker
• 关键词：Recursive estimation ; Fixed point solution
• 刊名：Statistics and Computing
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：27
• 期：2
• 页码：439-448
• 全文大小：
• 刊物类别：Mathematics and Statistics
• 刊物主题：Statistics and Computing/Statistics Programs; Artificial Intelligence (incl. Robotics); Statistical Theory and Methods; Probability and Statistics in Computer Science;
• 出版者：Springer US
• ISSN：1573-1375
• 卷排序：27

文摘

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.