Uniform error bounds for a continuous approximation of non-negative random variables
Sangüesa, Carmen
Bernoulli, Tome 16 (2010) no. 1, p. 561-584 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
In this work, we deal with approximations for distribution functions of non-negative random variables. More specifically, we construct continuous approximants using an acceleration technique over a well-know inversion formula for Laplace transforms. We give uniform error bounds using a representation of these approximations in terms of gamma-type operators. We apply our results to certain mixtures of Erlang distributions which contain the class of continuous phase-type distributions.
Publié le : 2010-05-15
Classification:  gamma distribution,  Laplace transform,  phase-type distribution,  uniform distance 
@article{1274821084,
     author = {Sang\"uesa, Carmen},
     title = {Uniform error bounds for a continuous approximation of non-negative random variables},
     journal = {Bernoulli},
     volume = {16},
     number = {1},
     year = {2010},
     pages = { 561-584},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1274821084}
}

Sangüesa, Carmen. Uniform error bounds for a continuous approximation of non-negative random variables. Bernoulli, Tome 16 (2010) no. 1, pp.  561-584. http://gdmltest.u-ga.fr/item/1274821084/