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Journal of Mathematical Analysis and Applications
Article . 2017 . Peer-reviewed
License: Elsevier Non-Commercial
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Article . 2017
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https://dx.doi.org/10.48550/ar...
Article . 2015
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https://dx.doi.org/10.20347/wi...
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Generalized Post–Widder inversion formula with application to statistics

Generalized Post-Widder inversion formula with application to statistics
Authors: Belomestny, Denis; Mai, Hilmar; Schoenmakers, John G. M.;

Generalized Post–Widder inversion formula with application to statistics

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.

Country
Germany
Keywords

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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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
1
Average
Average
Average
Green
bronze