Recovering a distribution from its translated fractional moments

Henryk Gzyl () and A. Tagliani

Statistics & Probability Letters, 2016, vol. 118, issue C, 171-176

Abstract: We take up the problem of determining the distribution of the hitting time of a parabola by a Brownian motion. We use the maximum entropy method to obtain a good approximation to the true density from its translated fractional moments.

Keywords: Entropy; Entropy convergence; Fractional moment; Kullback–Leibler distance; Maximum entropy (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spl.2016.06.024

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