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t−1/2 π 1/2
(s)
eat 1/(s − a)
sin ωt ω/(s2 + ω 2 )
cosωt s/(s2 + ω 2 )
t sin ωt 2ωs/(s2 + ω 2 )2
t cos ωt (s2 − ω 2 )/(s2 + ω 2 )2
eat tn n!/(s − a)n+1
eat sin ωt ω/ (s − a)2 + ω 2
eat cos ωt (s − a)/ (s − a)2 + ω 2
sinh ωt ω/(s2 − ω 2 )
cosh ωt s/(s2 − ω 2 )
Impulse (Dirac δ): δ(t − a) (6= 0 at t = a, else = 0) e−as
Step function: Ha (t) (= 0 for t < a and = 1, t ≥ a) e−as /s
Delay of g : Ha (t)g(t − a) e−as g̃(s)
Shift of g: eat g(t) g̃(s − a)
Rt
Convolution: f (t) ∗ g(t) = 0 f (t − τ )g(τ ) dτ g̃(s)f˜(s)
Rt 1
Integration: 1 ∗ g(t) = 0 g(τ ) dτ s g̃(s)
Derivative: y 0 sỹ − y(0)
y 00 s2 ỹ − sy(0) − y 0 (0)
1
3. Application of Laplace Transform in mathematical statistics
Let f be Ra probability density function (pdf) for a positive random variable, so f is positive and of unit
∞
measure: 0 f (x) dx = 1. The expectation operator E gives the mean m and variance σ 2 < ∞ by
Z ∞ Z ∞
2
E[x] = x f (x) dx = m and E[(x − m) ] = x2 f (x) dx − m2 = σ 2 .
0 0
(n) R∞
Its nth derivative is φx (t) = (−1)n 0 xn etx f (x) dx and so in particular φ0x (0) = −m, φ00x (0) = σ 2 + m2 .
Lemma If y is another positive random variable, with probability density function g and y is independent
of x then from (1) the pdf of z = x + y has Laplace Transform
Xn n
X
( x2j )/( xj ) 2 , then f is a gamma distribution.
j=1 j=1
ψ 00 (t) σ2
Aψ 00 + B(ψ 0 )2 = 0, with ψ(0) = 0, ψ 0 (0) = m, ψ 00 (0) = σ 2 so = − . (2)
ψ 0 (t)2 m2
ψ 00 (t) d σ2 m
− = 1/ξ(t) = hence ξ(t) = .
ψ 0 (t)2 dt m2 1 + (σ 2 /m)t
It can be checked that this φx is the Laplace Transform of the gamma probability density function
m (m/σ)2 e−mx/σ2 2
f (x) = 2 2 2
x(m/σ) −1 .
σ Γ(m /σ )