An iterative algorithm to bound partial moments

Sander Muns*

*Corresponding author for this work

    Research output: Contribution to journalArticleScientificpeer-review

    Abstract

    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 : R -> R. Two examples illustrate the performance of the algorithm.

    Original languageEnglish
    Pages (from-to)89-122
    Number of pages34
    JournalComputational Statistics
    Volume34
    Issue number1
    DOIs
    Publication statusPublished - Mar 2019

    Keywords

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

    Cite this

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    title = "An iterative algorithm to bound partial moments",
    abstract = "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 : R -> R. Two examples illustrate the performance of the algorithm.",
    keywords = "Moment problem, Bounds, Censored distributions, Iteration convergence, PROBABILITY-DISTRIBUTIONS, INFORMATION, RECONSTRUCTION, EXPECTATION, TAIL",
    author = "Sander Muns",
    year = "2019",
    month = "3",
    doi = "10.1007/s00180-018-0825-8",
    language = "English",
    volume = "34",
    pages = "89--122",
    journal = "Computational Statistics",
    issn = "0943-4062",
    publisher = "Springer Verlag",
    number = "1",

    }

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

    In: Computational Statistics, Vol. 34, No. 1, 03.2019, p. 89-122.

    Research output: Contribution to journalArticleScientificpeer-review

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    T1 - An iterative algorithm to bound partial moments

    AU - Muns, Sander

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    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 : R -> 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 : R -> 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 -