This paper reviews the Fourier-series method for calculating cumulative distribution functions (cdf's) and probability mass functions (pmf's) by numerically inverting characteristic functions, Laplace transforms and generating functions. Some variants of the Fourier-series method are remarkably easy to use, requiring programs of less than fifty lines. The Fourier-series method can be interpreted as numerically integrating a standard inversion integral by means of the trapezoidal rule. The same formula is obtained by using the Fourier series of an associated periodic function constructed by aliasing; this explains the name of the method. This Fourier analysis applies to the inversion problem because the Fourier coefficients are just values of the transform. The mathematical centerpiece of the Fourier-series method is the Poisson summation formula, which identifies the discretization error associated with the trapezoidal rule and thus helps bound it. The greatest difficulty is approximately calculating the infinite series obtained from the inversion integral. Within this framework, lattice cdf's can be calculated from generating functions by finite sums without truncation. For other cdf's, an appropriate truncation of the infinite series can be determined from the transform based on estimates or bounds. For Laplace transforms, the numerical integration can be made to produce a nearly alternating series, so that the convergence can be accelerated by techniques such as Euler summation. Alternatively, the cdf can be perturbed slightly by convolution smoothing or windowing to produce a truncation error bound independent of the original cdf. Although error bounds can be determined, an effective approach is to use two different methods without elaborate error analysis. For this...

The Laguerre method for numerically inverting Laplace transforms is an old established method based on the 1935 Tricomi-Widder theorem, which shows (under suitable regularity conditions) that the desired function can be represented as a weighted sum of Laguerre functions, where the weights are coefficients of a generating function constructed from the Laplace transform using a bilinear transformation. We present a new variant of the Laguerre method based on: (1) using our previously developed variant of the Fourier-series method to calculate the coefficients of the Laguerre gener-ating function, (2) developing systematic methods for scaling, and (3) using Wynn’s ɛ-algorithm to accelerate convergence of the Laguerre series when the Laguerre coefficients do not converge to zero geometrically fast. These contributions significantly expand the class of transforms that can be effectively inverted by the Laguerre method. We provide insight into the slow convergence of the Laguerre coefficients as well as propose a remedy. Before acceleration, the rate of convergence can often be determined from the Laplace transform by applying Darboux’s theorem. Even when the Laguerre coefficients converge to zero geometrically fast, it can be difficult to calculate the desired functions for large arguments because of roundoff errors. We solve this problem by calculating very small Laguerre coefficients with low relative error through appropriate scaling. We also develop another acceleration technique for the case in which the Laguerre coefficients converge to zero ge-ometrically fast. We illustrate the effectiveness of our algorithm through numerical examples. Subject classifications: Mathematics, functions: Laplace transforms. Probability, distributions: calculation by transform inversion. Queues, algorithms: Laplace transform inversion.

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