Institute of Mathematical Statistics Lecture Notes - Monograph Series

Recovery of Distributions via Moments

Robert M. Mnatsakanov and Artak S. Hakobyan

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Abstract

The problem of recovering a cumulative distribution function (cdf) and corresponding density function from its moments is studied. This problem is a special case of the classical moment problem. The results obtained within the moment problem can be applied in many indirect models, e.g., those based on convolutions, mixtures, multiplicative censoring, and right-censoring, where the moments of unobserved distribution of actual interest can be easily estimated from the transformed moments of the observed distributions. Nonparametric estimation of a quantile function via moments of a target distribution represents another very interesting area where the moment problem arises. In all such models one can apply the present results to recover a function via its moments. In this article some properties of the proposed constructions are derived. The uniform rates of convergence of the approximation of cdf, its density function, quantile and quantile density function are obtained as well.

Chapter information

Source
Javier Rojo, ed., Optimality: The Third Erich L. Lehmann Symposium (Beachwood, Ohio, USA: Institute of Mathematical Statistics, 2009), 252-265

Dates
First available in Project Euclid: 3 August 2009

Permanent link to this document
https://projecteuclid.org/euclid.lnms/1249305333

Digital Object Identifier
doi:10.1214/09-LNMS5715

Mathematical Reviews number (MathSciNet)
MR2681675

Zentralblatt MATH identifier
1271.62074

Subjects
Primary: 62G05: Estimation
Secondary: 62G20: Asymptotic properties

Keywords
probabilistic moment problem M-determinate distribution moment-recovered distribution uniform rate of convergence

Rights
Copyright © 2009, Institute of Mathematical Statistics

Citation

Rojo, Javier. Recovery of Distributions via Moments. Optimality, 252--265, Institute of Mathematical Statistics, Beachwood, Ohio, USA, 2009. doi:10.1214/09-LNMS5715. https://projecteuclid.org/euclid.lnms/1249305333


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