New Stieltjes classes involving generalized gamma distributions

Jordan Stoyanov and Leonid Tolmatz

Statistics & Probability Letters, 2004, vol. 69, issue 2, 213-219

Abstract: Let F be a distribution function with all moments finite and such that the problem of moments for F has a nonunique solution (F is M-indeterminate). Our goal is to explicitly describe a Stieltjes class S= f[var epsilon]=f[1+[var epsilon]h],[var epsilon][set membership, variant][-1,1] of distributions (here written in terms of the densities) all having the same moments as F. We study in detail the case when F is the distribution of the power transformation [xi]r,r>0 of a random variable [xi] with generalized gamma distribution. We derive new Stieltjes classes in this case and also for powers of the normal and the exponential distributions. We find the value of the index of dissimilarity for some of these classes.

Keywords: Problem; of; moments; Stieltjes; class; of; distributions; Generalized; gamma; distribution; Normal; distribution; Exponential; distribution; Index; of; dissimilarity (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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