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

zbMATH Open1342.60014arXiv1406.1654MaRDI QIDQ5741255FDOQ5741255

Authors: Gwo Dong Lin, Jordan Stoyanov 

Publication date: 22 July 2016

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.

Full work available at URL: https://arxiv.org/abs/1406.1654

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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)

Cited In (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
• Title not available (Why is that?)
• 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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