| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1239/jap/1214950365 |
| Laplace transforms of probability distributions and their inversions are easy on logarithmic scales. | |
| Rossberg AG | |
| 发表日期 | 2008 |
| 出处 | Journal of Applied Probability 45 (2): 531-541 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | It is shown that, when expressing arguments in terms of their logarithms, the Laplace transform of a function is related to the antiderivative of this function by a simple convolution. This allows efficient numerical computations of moment generating functions of positive random variables and their inversion. The application of the method is straightforward, apart from the necessity to implement it using high-precision arithmetics. In numerical examples the approach is demonstrated to be particularly useful for distributions with heavy tails, such as lognormal, Weibull, or Pareto distributions, which are otherwise difficult to handle. The computational efficiency compared to other methods is demonstrated for an M/G/1 queueing problem. |
| 主题 | Evolution and Ecology (EEP) |
| 关键词 | Moment generating function Laplace transform Transform inversion Heavy tail |
| URL | http://pure.iiasa.ac.at/id/eprint/8566/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/128845 |
| 推荐引用方式 GB/T 7714 | Rossberg AG. Laplace transforms of probability distributions and their inversions are easy on logarithmic scales.. 2008. |
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