A maximum entropy method for inverting Laplace transforms of probability density functions
Udo Wagner, Alois L. J. Geyer · Biometrika · 1995
This papers presents a maximum entropy method for inverting Laplace transforms of density functions of positive random variables. The maximum entropy density is very flexible and can assume a variety of different shapes. Accurate approximations to the true density can be obtained even when only a few transform values are available. Numerical evidence is provided for gamma, lognormal, inverse Gaussian and Pareto distributions.