Sciweavers

Share
AMC
2005

Stieltjes moment problem via fractional moments

9 years 10 months ago
Stieltjes moment problem via fractional moments
Stieltjes moment problem is considered to recover a probability density function from the knowledge of its infinite sequence of ordinary moments. The approximate density is obtained through maximum entropy technique, under the constraint of few fractional moments. The latter are numerically obtained from the infinite sequence of ordinary moments and are chosen in such a way as to convey the maximum information content carried by the ordinary moments. As a consequence a model with few parameters is obtained and intrinsic numerical instability is avoided. It is proved that the approximate density is useful for calculating expected values and some other interesting probabilistic quantities.
Pierluigi Novi Inverardi, Alberto Petri, Giorgio P
Added 15 Dec 2010
Updated 15 Dec 2010
Type Journal
Year 2005
Where AMC
Authors Pierluigi Novi Inverardi, Alberto Petri, Giorgio Pontuale, Aldo Tagliani
Comments (0)
books