Inverse Laplace transform for heavy-tailed distributions
Copyright policy )Inverse Laplace transform for heavy-tailed distributions
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.
- Universidad Metropolitana United States
- University of Trento Italy
- Metropolitan University Venezuela
- Ana G. Mendez University System United States
maximum entropy, convergence, Laplace transform, Integral transforms of special functions, Laplace transform inversion, fractional moments, Hankel matrix, fractional calculus, generalized Hausdorff moment problem, Fractional derivatives and integrals, Moment problems
maximum entropy, convergence, Laplace transform, Integral transforms of special functions, Laplace transform inversion, fractional moments, Hankel matrix, fractional calculus, generalized Hausdorff moment problem, Fractional derivatives and integrals, Moment problems
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