Advances and Applications in Statistics
Volume 9, Issue 1, Pages 145 - 152
(June 2008)
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A NUMERICAL METHOD FOR COMPUTING THE PROBABILITY DISTRIBUTION OF A FINITE SUM OF INDEPENDENT NONNEGATIVE RANDOM VARIABLES
Rohan J. Dalpatadu (U. S. A.) and Ashok K. Singh (U. S. A.)
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Abstract: Consider a sum
of n independent nonnegative random variables. The Laplace transform of S is the product of the Laplacetransformsofthe ?s.In this paper, we propose and investigateanumericalmethodofcomputingtheprobability distribution of S. |
Keywords and phrases: Laplace transform, inversion, moment generating function, Fredholm equation, Stehfest?s algorithm. |
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