Numerical inversion of the Mellin transform on the real line for heavy-tailed probability density functions (Q1855757)
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scientific article; zbMATH DE number 1861140
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical inversion of the Mellin transform on the real line for heavy-tailed probability density functions |
scientific article; zbMATH DE number 1861140 |
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Numerical inversion of the Mellin transform on the real line for heavy-tailed probability density functions (English)
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28 January 2003
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The author presents a method for numerical inversion on the real line of the Mellin transform, without reduction of the problem to the inversion of the Laplace transform by using the maximum entropy technique. Entropy convergence and the \(L_1\)-norm convergence are proved. An upper bound of the error in the expected values computation is provided in terms of entropy.
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Mellin transform
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Stieltjes moment problem
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entropy
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