Hausdorff moment problem: Reconstruction of probability density functions

Robert M. Mnatsakanov

Statistics & Probability Letters, 2008, vol. 78, issue 13, 1869-1877

Abstract: The problem of recovering a moment-determinate probability density function (pdf) from its moments is studied. The proposed construction provides a method for recovery of different pdfs via simple transformations of the moment sequences. Uniform and L1-rates of convergence of moment-recovered pdfs are obtained. Finally, some applications and examples are briefly discussed.

Date: 2008
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