Stieltjes moment problem and fractional moments

被引：20

作者：

Gzyl, H. ^{[2
]}

Tagliani, A. ^{[1
]}

机构：

[1] Univ Trent, Dept Comp & Management Sci, I-38100 Trento, Italy

[2] Ctr Finanzas IESA, Caracas, Venezuela

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2010年 / 216卷 / 11期

关键词：

Fractional moments; Integer moments; Hankel matrix; Maximum entropy; Stieltjes and Hamburger moment problem; TAIL;

D O I：

10.1016/j.amc.2010.04.057

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Stieltjes moment problem is considered and a solution, consisting of the use of fractional moments, is proposed. More precisely, a determinate Stieltjes moment problem, whose corresponding Hamburger moment problem is determinate too, is investigated in the setup of Maximum Entropy. Condition number in entropy calculation is provided endowing both Stieltjes moment problem existence conditions and Hamburger moment problem determinacy conditions by a geometric meaning. Then the resorting to fractional moments is considered; numerical aspects are investigated and a stable algorithm for calculating fractional moments from integer moments is proposed. (C) 2010 Elsevier Inc. All rights reserved.

引用

页码：3307 / 3318

页数：12

共 11 条

[1]

[Anonymous], 1968, INFORM THEORY STAT

[2]

[Anonymous], 1970, Math. Surveys

[3]

Berg C, 2002, MATH SCAND, V91, P67

[4] Entropy-convergence in Stieltjes and Hamburger moment problem [J].