Inverse Laplace transform for heavy-tailed distributions.
type: Item
instance of: scholarly article
title: Inverse Laplace transform for heavy-tailed distributions.
zbMATH Open document ID: 1043.44003
DOI: 10.1016/S0096-3003(03)00235-2
author: Aldo Tagliani
author: Yurayh Velásquez
published in: Applied Mathematics and Computation
publication date: 2004-03-14T00:00:00Z
review text: Here the Laplace transform inversion on the real line of heavy-tailed (probability) density functions is considered. The method assumes as known a finite set of fractional moments drawn from real values of the Laplace transform by fractional calculus. The approximant is obtained by maximum entopy technique and leads to a finite generalized Hausdorff moment problem. Directed divergence and \(L_1\)-norm convergence are also proved.
reviewed by: Som Prakash Goyal
Mathematics Subject Classification ID: 44A10
Mathematics Subject Classification ID: 44A20
Mathematics Subject Classification ID: 26A33
Mathematics Subject Classification ID: 44A60
zbMATH DE Number: 2055859
zbMATH Keywords: Laplace transform inversion
zbMATH Keywords: fractional moments
zbMATH Keywords: generalized Hausdorff moment problem
zbMATH Keywords: Hankel matrix
zbMATH Keywords: maximum entropy
zbMATH Keywords: fractional calculus
zbMATH Keywords: convergence
MaRDI profile type: Publication
cites work: Q4062428
cites work: Q5750089
cites work: Numerical inversion of the Laplace transform via fractional moments
cites work: Q4031366
cites work: Q3849152
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description: scientific article; zbMATH DE number 2055859