Recent developments on the moment problem

Gwo Dong Lin ()
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Gwo Dong Lin: Academia Sinica

Journal of Statistical Distributions and Applications, 2017, vol. 4, issue 1, 1-17

Abstract: Abstract We consider univariate distributions with finite moments of all positive orders. The moment problem is to determine whether or not a given distribution is uniquely determined by the sequence of its moments. There is a huge literature on this classical topic. In this survey, we will focus only on the recent developments on the checkable moment-(in)determinacy criteria including Cramér’s condition, Carleman’s condition, Hardy’s condition, Krein’s condition and the growth rate of moments, which help us solve the problem more easily. Both Hamburger and Stieltjes cases are investigated. The former is concerned with distributions on the whole real line, while the latter deals only with distributions on the right half-line. Some new results or new simple (direct) proofs of previous criteria are provided. Finally, we review the most recent moment problem for products of independent random variables with different distributions, which occur naturally in stochastic modelling of complex random phenomena.

Keywords: Hamburger moment problem; Stieltjes moment problem; Cramér’s condition; Carleman’s condition; Krein’s condition; Hardy’s condition; 60E05; 44A60 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (10)

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DOI: 10.1186/s40488-017-0059-2

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