We propose the suitable use of the Post-Widder inversion formula for Laplace transforms–coupled with the Wynn’s ρ-algorithm for accelerating sequences–in order to evaluate (up to the desired accuracy) the probability density function and the distribution function of a large collection of random variables. The method is illustrated on the Tweedie law and the tempered positive Linnik law. In addition, a further application to some laws arising in the context of Brownian motion is considered. © 2018, © 2018 Taylor & Francis Group, LLC.
Barabesi, L. (2020). The computation of the probability density and distribution functions for some families of random variables by means of the Wynn-ρ accelerated Post-Widder formula. COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION, 49(5), 1333-1351 [10.1080/03610918.2018.1496254].
The computation of the probability density and distribution functions for some families of random variables by means of the Wynn-ρ accelerated Post-Widder formula
Barabesi, L.
2020-01-01
Abstract
We propose the suitable use of the Post-Widder inversion formula for Laplace transforms–coupled with the Wynn’s ρ-algorithm for accelerating sequences–in order to evaluate (up to the desired accuracy) the probability density function and the distribution function of a large collection of random variables. The method is illustrated on the Tweedie law and the tempered positive Linnik law. In addition, a further application to some laws arising in the context of Brownian motion is considered. © 2018, © 2018 Taylor & Francis Group, LLC.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
https://hdl.handle.net/11365/1125649