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A Maximum Entropy Method for Inverting Laplace Transforms of Probability Density Functions

Udo Wagner and Alois L. J. Geyer
Biometrika
Vol. 82, No. 4 (Dec., 1995), pp. 887-892
Published by: Oxford University Press on behalf of Biometrika Trust
DOI: 10.2307/2337353
Stable URL: http://www.jstor.org/stable/2337353
Page Count: 6
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A Maximum Entropy Method for Inverting Laplace Transforms of Probability Density Functions
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Abstract

This papers presents a maximum entropy method for inverting Laplace transforms of density functions of positive random variables. The maximum entropy density is very flexible and can assume a variety of different shapes. Accurate approximations to the true density can be obtained even when only a few transform values are available. Numerical evidence is provided for gamma, lognormal, inverse Gaussian and Pareto distributions.

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