Article ID: | iaor20012516 |
Country: | United States |
Volume: | 11 |
Issue: | 4 |
Start Page Number: | 394 |
End Page Number: | 405 |
Publication Date: | Sep 1999 |
Journal: | INFORMS Journal On Computing |
Authors: | Whitt Ward, Abate Joseph |
Keywords: | numerical analysis, queues: theory |
It is often possible to effectively calculate probability density functions (pdfs) and cumulative distribution functions (cdfs) by numerically inverting Laplace transforms. However, to do so it is necessary to compute the Laplace transform values. Unfortunately, convenient explicit expressions for required transforms are often unavailable for component pdfs in a probability model. In that event, we show that it is sometimes possible to find continued-fraction representations for required Laplace transforms that can serve as a basis for computing the transform values needed in the inversion algorithm. This property is very likely to prevail for completely monotone pdfs, because their Laplace transforms have special continued fractions called