Reconstruction of conditional expectations from product moments with applications

被引：1

作者：

Hagwood, Charles ^{[1
]}

机构：

[1] NIST, Stat Engn Div, Gaithersburg, MD 20016 USA

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2015年 / 276卷

关键词：

Moment problem; Characterization; Conditional expectation; Vandermonde; Product moments; VANDERMONDE SYSTEMS; MAXIMUM-ENTROPY; DISTRIBUTIONS; INDETERMINATE;

D O I：

10.1016/j.cam.2014.08.018

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, it is shown under conditions associated with the moment problem that a sequence of product moments uniquely determines a conditional expectation of two random variables. Then, a numerical procedure is derived to reconstruct a conditional expectation in terms of a sequence of its product moments. Published by Elsevier B.V.

引用

页码：129 / 142

页数：14

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