Moment-recovered approximations of multivariate distributions: The Laplace transform inversion

Robert M. Mnatsakanov

Statistics & Probability Letters, 2011, vol. 81, issue 1, 1-7

Abstract: The moment-recovered approximations of multivariate distributions are suggested. This method is natural in certain incomplete models where moments of the underlying distribution can be estimated from a sample of observed distribution. This approach is applicable in situations where other methods cannot be used, e.g. in situations where only moments of the target distribution are available. Some properties of the proposed constructions are derived. In particular, procedures of recovering two types of convolutions, the copula and copula density functions, as well as the conditional density function, are suggested. Finally, the approximation of the inverse Laplace transform is obtained. The performance of moment-recovered construction is illustrated via graphs of a simple density function.

Keywords: Hausdorff; moment; problem; Moment-recovered; distribution; Uniform; rate; of; approximation; Laplace; transform; inversion (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (7)

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