Title :
Numerical calculation of cumulative probability from the moment-generating function
Abstract :
A numerical method for determining the cumulative probability distribution of a nonnegative random variable is based on the steepest descent approximation of the inverse Laplace transform of its moment-generating function. Good numerical agreement with the cumulative exponential and Poisson distributions is demonstrated.
Keywords :
Artificial intelligence; Integral equations; Interpolation; Laplace equations; Notice of Violation; Probability density function; Probability distribution; Random variables; Statistical distributions;
Journal_Title :
Proceedings of the IEEE
DOI :
10.1109/PROC.1972.8929
