Inverse Laplace transform for heavy-tailed distributions. (Q1427643)
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English | Inverse Laplace transform for heavy-tailed distributions. |
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Inverse Laplace transform for heavy-tailed distributions. (English)
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14 March 2004
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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.
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Laplace transform inversion
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fractional moments
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generalized Hausdorff moment problem
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Hankel matrix
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maximum entropy
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fractional calculus
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convergence
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