Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5774475 | Journal of Mathematical Analysis and Applications | 2017 | 16 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Denis Belomestny, Hilmar Mai, John Schoenmakers,