
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.
ddc:510, mixture model, Post-Widder formula, nonparametric estimator, Laplace transform, variance-mean mixtures, article, Mathematics - Statistics Theory, 65R32, Statistics Theory (math.ST), 45Q05, 65R32, 62G07, Paired and multiple comparisons; multiple testing, 510, Laplace transform -- inversion formula -- Post-Widder formula -- variance-mean mixtures -- density estimation, Density estimation, inversion formula, density estimation, Mathematik, 62G07, FOS: Mathematics
ddc:510, mixture model, Post-Widder formula, nonparametric estimator, Laplace transform, variance-mean mixtures, article, Mathematics - Statistics Theory, 65R32, Statistics Theory (math.ST), 45Q05, 65R32, 62G07, Paired and multiple comparisons; multiple testing, 510, Laplace transform -- inversion formula -- Post-Widder formula -- variance-mean mixtures -- density estimation, Density estimation, inversion formula, density estimation, Mathematik, 62G07, FOS: Mathematics
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