### Abstract

Original language | English |
---|---|

Pages (from-to) | 89-122 |

Journal | Computational Statistics |

Volume | 34 |

Issue number | 1 |

DOIs | |

Publication status | Published - Mar 2019 |

### Keywords

- Moment problem
- Bounds
- Censored distributions
- Iteration convergence
- PROBABILITY-DISTRIBUTIONS
- INFORMATION
- RECONSTRUCTION
- EXPECTATION
- TAIL

### Cite this

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*Computational Statistics*, vol. 34, no. 1, pp. 89-122. https://doi.org/10.1007/s00180-018-0825-8

**An iterative algorithm to bound partial moments.** / Muns, Sander.

Research output: Contribution to journal › Article › Scientific › peer-review

TY - JOUR

T1 - An iterative algorithm to bound partial moments

AU - Muns, Sander

PY - 2019/3

Y1 - 2019/3

N2 - This paper presents an iterative algorithm that bounds the lower and upper partial moments of an arbitrary univariate random variable X by using the information contained in a sequence of finite moments of X. The obtained bounds on the partial moments imply bounds on the moments of the transformation f(X) for a certain function f:\mathbb {R}\rightarrow \mathbb {R} . Two examples illustrate the performance of the algorithm.

AB - This paper presents an iterative algorithm that bounds the lower and upper partial moments of an arbitrary univariate random variable X by using the information contained in a sequence of finite moments of X. The obtained bounds on the partial moments imply bounds on the moments of the transformation f(X) for a certain function f:\mathbb {R}\rightarrow \mathbb {R} . Two examples illustrate the performance of the algorithm.

KW - Moment problem

KW - Bounds

KW - Censored distributions

KW - Iteration convergence

KW - PROBABILITY-DISTRIBUTIONS

KW - INFORMATION

KW - RECONSTRUCTION

KW - EXPECTATION

KW - TAIL

U2 - 10.1007/s00180-018-0825-8

DO - 10.1007/s00180-018-0825-8

M3 - Article

VL - 34

SP - 89

EP - 122

JO - Computational Statistics

JF - Computational Statistics

SN - 0943-4062

IS - 1

ER -