INFINITE-SERIES REPRESENTATIONS OF LAPLACE TRANSFORMS OF PROBABILITY DENSITY FUNCTIONS FOR NUMERICAL INVERSION
نویسندگان
چکیده
منابع مشابه
Infinite-series Representations of Laplace Transforms of Probability Density Functions for Numerical Inversion
Abstract In order to numerically invert Laplace transforms to calculate probability density functions (pdf’s) and cumulative distribution functions (cdf’s) in queueing and related models, we need to be able to calculate the Laplace transform values. In many cases the desired Laplace transform values (e.g., of a waiting-time cdf) can be computed when the Laplace transform values of component pdf...
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In order to numerically invert Laplace transforms to calculate probability density functions (pdf’s) and cumulative distribution functions (cdf’s) in queueing and related models, we need to be able to calculate the Laplace transform values. In many cases the desired Laplace transform values (e.g., of a waiting-time cdf) can be computed when the Laplace transform values of component pdf’s (e.g.,...
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The purpose of this document is to summarize main points of the paper, “Numerical Inversion of Laplace Transforms of Probability Distributions”, and provide R code for the Euler method that is described in the paper. The code is used to invert the Laplace transform of some popular functions. Context Laplace transform is a useful mathematical tool that one must be familiar with, while doing appl...
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ژورنال
عنوان ژورنال: Journal of the Operations Research Society of Japan
سال: 1999
ISSN: 0453-4514,2188-8299
DOI: 10.15807/jorsj.42.268