Moment determinacy of powers and products of nonnegative random variables

DOI10.1007/S10959-014-0546-ZzbMATH Open1358.60030arXiv1403.0301OpenAlexW1976773161MaRDI QIDQ904700FDOQ904700

Authors: Gwo Dong Lin, Jordan Stoyanov 

Publication date: 13 January 2016

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: We find conditions which guarantee moment (in)determinacy of powers and products of nonnegative random variables. We establish new and general results which are based either on the rate of growth of the moments of a random variable or on conditions about the distribution itself. For the class of generalized gamma random variables we show that the power and the product of such variables share the same moment determinacy property. A similar statement holds for half-logistic random variables. Besides answering new questions in this area, we either extend some previously known results or provide new and transparent proofs of existing results.

Full work available at URL: https://arxiv.org/abs/1403.0301

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zbMATH Keywords

generalized gamma distributionStieltjes moment problemhalf-logistic distributionHardy condition

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Moment problems (44A60)

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Cited In (12)

• Moment problems related to Bernstein functions
• Recent developments on the moment problem
• On Lin's condition for products of random variables with singular joint distribution
• On conditions for a probability distribution to be uniquely determined by its moments
• Determinacy of a distribution with finitely many mass points by finitely many moments
• Hamburger moment problem for powers and products of random variables
• On the Moment Determinacy of Products of Non-identically Distributed Random Variables
• A review of conjectured laws of total mass of Bacry-Muzy GMC measures on the interval and circle and their applications
• A new proof that the product of three or more exponential random variables is moment-indeterminate
• On Barnes beta distributions and applications to the maximum distribution of the 2D Gaussian free field
• On some new moments of Gamma type
• A two-parameter extension of Urbanik's product convolution semigroup

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