Generalized Post-Widder inversion formula with application to statistics

DOI10.1016/J.JMAA.2017.05.042MaRDI QIDQ2013063zbMATH OpenOpenAlexFDO

Authors D. Belomestny, Hilmar Mai, John Schoenmakers

Publication date 3 August 2017

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.09298

zbMATH Keywords

Laplace transformdensity estimationmixture modelnonparametric estimatorinversion formulaPost-Widder formulavariance-mean mixtures

Mathematics Subject Classification ID

Density estimation (62G07) Paired and multiple comparisons; multiple testing (62J15) Laplace transform (44A10)

Abstract: In this work we derive an inversion formula for the Laplace transform of a density observed on a curve in the complex domain, which generalizes the well known Post-Widder formula. We establish convergence of our inversion method and derive the corresponding convergence rates for the case of a Laplace transform of a smooth density. As an application we consider the problem of statistical inference for variance-mean mixture models. We construct a nonparametric estimator for the mixing density based on the generalized Post-Widder formula, derive bounds for its root mean square error and give a brief numerical example.

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Cites work

• scientific article; zbMATH DE number 3953326 (Why is no real title available?)
• scientific article; zbMATH DE number 3237318 (Why is no real title available?)
• Direct regularization of the inversion of real-valued Laplace transforms
• Normal Variance-Mean Mixtures and z Distributions
• Numerical inversion of the Laplace transform: analysis via regularized analytic continuation
• Semi-parametric modelling in finance: theoretical foundations
• What is the Laplace Transform?

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• InvertLT

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