Recovering a distribution from its translated fractional moments

被引：0

作者：

Gzyl, H. ^{[1
]}

Tagliani, A. ^{[2
]}

机构：

[1] Ctr Finanzas IESA, Caracas, Venezuela

[2] Univ Trento, Dept Econ & Management, I-38100 Trento, Italy

来源：

STATISTICS & PROBABILITY LETTERS | 2016年 / 118卷

关键词：

Entropy; Entropy convergence; Fractional moment; Kullback-Leibler distance; Maximum entropy; 1ST PASSAGE PROBLEM; CROSSING PROBABILITIES; DIFFUSION-PROCESSES; WIENER PROCESS; BOUNDARIES;

D O I：

10.1016/j.spl.2016.06.024

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We take up the problem of determining the distribution of the hitting time of a parabola by a Brownian motion. We use the maximum entropy method to obtain a good approximation to the true density from its translated fractional moments. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：171 / 176

页数：6

共 20 条

[1]

Abramovitz M., 1965, HDB MATH FUNCTIONS F

[2]

Aksop C, 2013, GAZI U J SCI, V26, P57

[3]

Bafiuelos R., 2001, ANN PROBAB, V29, P882

[4] Explicit bounds for approximation rates of boundary crossing probabilities for the Wiener process [J].