On the Moment Determinacy of Products of Non-identically Distributed Random Variables

MaRDI QIDQ5741255zbMATH OpenFDO

Authors Gwo Dong Lin, Jordan Stoyanov

Publication date 22 July 2016

Full work available at URL https://arxiv.org/abs/1406.1654, http://www.math.uni.wroc.pl/%7epms/publicationsArticle.php?ppB=21&nr=36.1&nrA=2&ppE=33

zbMATH Keywords

Stieltjes moment problemproduct of random variablesCarleman's conditionHamburger moment problemHardy's conditionKrein's conditionCramér's condition

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10) Moment problems (44A60)

Abstract: We show first that there are intrinsic relationships among different conditions, old and recent, which lead to some general statements in both the Stieltjes and the Hamburger moment problems. Then we describe checkable conditions and prove new results about the moment (in)determinacy for products of independent and non-identically distributed random variables. We treat all three cases when the random variables are nonnegative (Stieltjes case), when they take values in the whole real line (Hamburger case), and the mixed case. As an illustration we characterize the moment determinacy of products of random variables whose distributions are generalized gamma or double generalized gamma all with distinct shape parameters. Among other corollaries, the product of two independent random variables, one exponential and one inverse Gaussian, is moment determinate, while the product is moment indeterminate for the cases: one exponential and one normal, one chi-square and one normal, and one inverse Gaussian and one normal.

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(7)

• Recent developments on the moment problem
• On Lin's condition for products of random variables with singular joint distribution
• Sequences of expected record values
• scientific article; zbMATH DE number 1396258 (Why is no real title available?)
• Hamburger moment problem for powers and products of random variables
• A new proof that the product of three or more exponential random variables is moment-indeterminate
• Moment determinacy of powers and products of nonnegative random variables

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