A dynamic view to moment matching of truncated distributions

Benoit Liquet and Yoni Nazarathy

Statistics & Probability Letters, 2015, vol. 104, issue C, 87-93

Abstract: We derive an ordinary differential equation (ODE) for solving moment matching problems of truncated univariate distributions. Our method produces a trajectory that solves a family of moment matching problems for different truncation values all with the same target moments.

Keywords: Location-scale families; Moment matching; Normal distribution; Truncated distributions (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2015.05.006

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