Stieltjes moment problem via fractional moments

DOI10.1016/J.AMC.2004.06.060MaRDI QIDQ2485664zbMATH OpenOpenAlexFDO

Authors Giorgio Pontuale, Aldo Tagliani, Pierluigi Novi Inverardi, Alberto Petri

Publication date 5 August 2005

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2004.06.060

zbMATH Keywords

fractional momentsHankel matrixLaplace transformmaximum entropyStieltjes moment problem

Mathematics Subject Classification ID

Moment problems (44A60) Numerical methods for integral transforms (65R10)

Review text

The authors extend a procedure for the reconstruction of probability density function from the knowledge of its infinite sequence of ordinary moments [cf. the authors, ibid. 144, No. 1, 61--74 (2003; Zbl 1029.44003)] from the case of distributions with finite positive support (Hausdorff case) to the case where the distribution has \([0,\infty)\) support (Stieltjes case). The approximate density is obtained through a maximum entropy technique, under the constraint of few fractional moments. The authors prove that the approximate density is useful for calculating the expected values.

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Cites work

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• Hausdorff moment problem via fractional moments
• scientific article; zbMATH DE number 148970 (Why is no real title available?)
• scientific article; zbMATH DE number 4184623 (Why is no real title available?)
• Maximum Entropy Density Estimation from Fractional Moments
• On a test for exponentiality against Laplace order dominance
• Prony's method for completely monotonic functions
• The condition number of real Vandermonde, Krylov and positive definite Hankel matrices

Cited in

(19)

• Moment information for probability distributions, without solving the moment problem. II: Main-mass, tails and shape approximation
• The statistics of the fractional moments: is there any chance to ``read quantitatively any randomness?
• Blind detection in symmetric non-Gaussian noise with unknown PDF using maximum entropy method with moment generating function constraints
• Hausdorff moment problem via fractional moments
• On the proximity of distributions in terms of coinciding fractional moments.
• Real moments from moments and vice versa
• Some extensions of M-fractions related to strong Stieltjes distributions
• A rational Stieltjes moment problem.
• A new fractional moment equation method for the response prediction of nonlinear stochastic systems
• Maxentropic solution of fractional moment problems
• Fractional absolute moments of heavy tailed distributions
• Fractional moments and maximum entropy: geometric meaning
• Optimal predictive densities and fractional moments
• Hausdorff moment problem and fractional moments: a simplified procedure
• The truncated Stieltjes moment problem solved by using kernel density functions
• scientific article; zbMATH DE number 2172768 (Why is no real title available?)
• Algebraic Perspectives on Signomial Optimization
• Stieltjes moment problem and fractional moments
• Hausdorff moment problem and fractional moments

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