Hausdorff moment problem: Reconstruction of distributions

Robert M. Mnatsakanov

Statistics & Probability Letters, 2008, vol. 78, issue 12, 1612-1618

Abstract: The problem of approximation of the moment-determinate cumulative distribution function (cdf) from its moments is studied. This method of recovering an unknown distribution is natural in certain incomplete models like multiplicative-censoring or biased sampling when the moments of unobserved distributions are related in a simple way to the moments of an observed distribution. In this article some properties of the proposed construction are derived. The uniform and L1-rates of convergence of the approximated cdf to the target distribution are obtained.

Keywords: Hausdorff; moment; problem; Moment-recovered; distribution; L1-rate; of; approximation; Uniform; rate; of; approximation (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (8)

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