Questions tagged [moments]

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1answer
79 views

Are the first 4 statistical moments independent? [closed]

Are the first 4 statistical moments independent? Is there a mathematical demonstration that can show independence one from each other? Can the value of one moment influence the value of another? If so,...
1
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1answer
113 views

Is it always possible to determine the distribution of a random variable given all its moments? [closed]

we we're asked about it, and I know that answer is "NO", and I haven't found an good enough answer yet and would appreciate an explanation with examples.
3
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1answer
114 views

Generalized moment problem for discrete distributions

Consider the discrete distribution $\mu = \sum_{i = 0}^{n - 1} \delta(x - x_i)$ with all $a \leq x_0 < \ldots < x_{n - 1} \leq b$ and $[a, b] \in \mathbb{R}$. Suppose that $u_0(x), \ldots, u_n(x)...
0
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0answers
84 views

How to get the mean, skewness of a Itō integral?

If $B_t$ denotes a standard Brownian motion, and let $X_t = \int f(s)dB_s$, f(s) is a deterministic integrand. I known $B_t$ is a martingale, Is $X_t$ also a martingale? And how can i get the formula ...
2
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1answer
50 views

sign of odd central moments of binomial distribution

I am interested in the sign of odd, central moments of a binomial distribution. From DOI. 10.1137/070700024 I have the formulae: $ E\left[\left(X-\mu\right)^d\right]= \sum_{i=0}^n\binom{n}{i}\left(-p\...
6
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2answers
229 views

The distance distribution of graphs

The degree distribution of a graph is of main importance, especially for large graphs, and namely random graphs. Its expected value and its higher moments tell a lot about a graph – but of course not ...
0
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0answers
28 views

How to project a sequence on the univariate moment cone

Folowing closely Schmüdgen, K. (2017). The moment problem (Vol. 9). Berlin/New York: Springer., Chapter 10, Section 2, for a bounded interval $[a,b] \in\mathbb R$ and $m\in\mathbb N$, define the ...
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0answers
37 views

Mixed inverse factorial moment of a multinomial random vector

Let $\mathbf{X}=(X_1,X_2,\ldots,X_k)$ be a multinomial random vector with parameters $n,p_1,p_2,\ldots,p_k$. I would be interested in computing mixed inverse factorial moments for $\mathbf{X}$. More ...
1
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1answer
108 views

Is this (somewhat specific) moment problem treated somewhere?

Suppose I have a measure $\mu$ over $\mathbb R_+$ given by its moments $\mu_0,...,\mu_n$, defined as : $$\mu_k = \int x^{k} \partial\mu(x),\; k \in 1,...,n$$ Using Faà di Bruno's formula, I can ...
0
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0answers
20 views

Moment-augment marginal distribution (not the exact name, given by myself)

Consider a joint distribution density function $f(x,y)$ of two random variables $x$ and $y$, and define $f_{n}(x)\equiv\int\!{\rm d}y\,y^n f(x,y)$. Do they have given name(s) in probability theory ? I ...
0
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0answers
39 views

Moments of Logistic SDE's solution

On this article starting from equation $(30)$ it's presented a derivation of the first moment for the solution the logistic SDE: $$dx=x\left[\mu\left(1-\frac{x}{\tilde{x}}\right)dt+\sigma dW\right]$$...
0
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1answer
47 views

Finding a r-atomic solution to the univariate truncated Hausdorff moment problem

Suppose i have a certain $t>0$, and observations of moments of a random variable $X$ given by $\mu_0=1,\mu_1,...,\mu_n$. How can i: Check that a measure with support $[0, \frac{1}{t}]$ with thoses ...
1
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0answers
42 views

Negative moments of Steinhaus random variables

Let $f_i, i=1, \ldots, n$ be independent Steinhaus random variables, i.e. variables which are uniformly distributed on the complex unit circle. Let $a \in R^n$. 1) Find $E\left(\sum_{i=1}^nf_i a_i\...
3
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1answer
206 views

Differentiability of characteristic functions and moments of the corresponding measure

Let $f$ be the characteristic function of a real-valued random variable $X$. It is known that if $f$ has a $k$-th order derivative (for some even $k$) then $\mu$ has a finite $k$-th order moment. Is ...
0
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1answer
77 views

Is there a proper name for those 'shifted moments'?

Suppose that we have a random variable $X$, $i \in \mathbb N$, and a scalar $t$. Is there a proper name for these integrals, that I for the moment call 'shifted moments' ? $$I_{i}^{t} = \mathbb{E}\...
1
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1answer
122 views

Moments of Dirichlet $L$-functions on the critical line

I'm looking for a reference for some questions related to the moments of Dirichlet characters on the critical line, $$ M_k(T;\chi) = \int_T^{2T} |L(1/2+it,\chi)|^{2k}\,dt, $$ where $\chi$ is a ...
1
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1answer
47 views

Can this be translated to a truncated multivariate moment problem?

Fix $\mathbf t \in \mathbb{R}_+^d$. I am looking for a r-atomic measure $\nu$ on $\mathbb{R}_{+}^{d}$ that solves the following 'moment' conditions. $$\forall\, \mathbf i \in \mathbb{N}^{d} \, s.t \, ...
2
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1answer
183 views

fractional moments of multivariate normal distributions

is there an analytic formula for fractional moments of multivariate normal distribution? $E(\prod_{i=1}^k x_i^{\nu_i})=?$ where $X=(x_1,\ldots,x_k) \sim N_k(\mu, \Sigma)$, $\nu_i\in \mathcal{R}$ and $\...
2
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0answers
40 views

Cumulant of functions of weakly dependent random variables

Suppose $X_1,\dots,X_4$ are Gaussian random variables with mean and variance $$\mathbf E X_i = 0,\quad \mathbf E X_i^2=1.$$ Furthermore suppose that the random variables have a certain weak ...
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0answers
92 views

What are the best unconditional bounds for the discrete moments of $\zeta'$?

I heard this morning through the app Researcher about the following article by Scott Kirila: arXiv:1804.08826v2 in which the author proves under RH that $J_{k}(T)\asymp_{k}(\log T)^{k(k+2)}$, where ...
1
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1answer
342 views

Expected value of absolute value of shifted binomial distribution

Recently my research needs to calculate the close form of $\mathsf{E}[|X-\frac{n}{2}|]$ where $X$ follows binomial distribution with parameter $(n,p)$. When $p=\frac{1}{2}$, this is just the mean ...
1
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2answers
101 views

A conjecture on 'truncated joint moments' of binomial coefficients under binomial distribution

This is similar in spirit to Sum of squares of middle binomial sums or 'Truncated mean' of binomial coefficients under binomial distribution but gives some total estimates. Though the other ...
0
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0answers
38 views

moment generation function for matrix Gaussian distribution

What is the moment generation function for the following function $$ E(e^{\mathbf{X}^T\mathbf{y}\mathbf{W}})=\int e^{\mathbf{X}^T\mathbf{y}\mathbf{W}}\frac{\exp\big(-\frac{1}{2}\mathrm{tr}\big[\mathbf{...
1
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2answers
102 views

Is any real function satisfying basic conditions a moment generating function? [closed]

We all know that a mgf of a random variable $m_X(t)$ is positive and $m(0)=1$. My question is: if a positive real function $f(t)$ satisfies $f(0)=1$ and the function is smooth enough (around 0), does ...
1
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2answers
87 views

Are these moments related to any usual distribution?

Knowing the moments of a random variable, we are wondering if we can express it in terms of some usual distribution (beta, uniform...), maybe as a product of distributions. $X$ is a $[0,1]$-valued ...
1
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1answer
113 views

mollifier satisfying moment conditions

I wish to find a mollifier $\psi\in C_0^{d+1}(-1,1)$ such that $$ \int_{-1}^1 x^k \psi(x)dx = \begin{cases} 1, & k=0;\\ 0, & k=1,\dots,d. \end{cases} $$ This paper (https://home.cscamm....
3
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0answers
156 views

Estimating integral of product of terms $\cos(t\log p)$

I would like to prove the following proposition from A. Harper's paper "Sharp conditional upper bound for moments of the Riemann Zeta Function" Proposition. Let $T$ be large and let $n=p_1^{\...
1
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1answer
65 views

Approximate $\log \mathbb E_P[\exp(th(x)]$ for a function $h$ which is lipschitz and has finite moments of order 1 and 2 w.r.t $P$

Let $P$ be a probability measure on a space $\mathcal X$ and $h: \mathcal X \rightarrow \mathbb R$ is measurable function with finite moments of order 1 and 2. I'm interested in approximating the ...
1
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1answer
78 views

MGF of a RV that is the ratio between a complex Gaussian and a Chi-squared RVs

Given the following p.d.f., which is the p.d.f. of the real and imaginary parts of a random variable that is the ratio between a complex Gaussian and a Chi-squared RVs: \begin{equation*} f_U(u)=\exp\...
3
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0answers
138 views

Are there any conditions on the moments that make a measure a probability measure?

For a positive Borel measure $\mu$ on the real line interval $[-1, 1]$, let $\displaystyle{m_n = \int_{-\infty}^\infty x^n d\mu(x)}$, i.e. the $n$th moments of the measure. Are there any conditions ...
5
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0answers
65 views

Are Stochastic Process Characterized by Their conditional Moments

Suppose that $X_t$ is a real-valued stochastic process. Then is $X_t$ characterized by it's conditional moments? In the sence that, if $Y_t$ is another process, such that $$ \mathbb{E}\left[\int_s^T\...
3
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2answers
154 views

Is the covariance of squares always bounded from below by two times the covariance?

I came across the following inequality in one of my calculations ($X,Y$ are centered random variables): $$\operatorname{E}(X^2Y^2)-\operatorname{E}(X^2)\operatorname{E}(Y^2) \geq 2 \operatorname{E}(...
4
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1answer
425 views

Bound for a conditional expectation

Let $a_i, i=1, \ldots, n$ be real numbers. Let $\epsilon_i, \, i=1, \ldots, n$ be a random variables that take values $\pm 1$ with equal probability and $r_i, i=1, \ldots, n$ be random variables ...
2
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0answers
347 views

Random averages over a Point process - Campbell's Theorem

Let $(N_t)_{t \geq 0}$ be a non-homogeneus Poisson process with intensity function $t \mapsto \lambda(t)$. Let $(T_n)_{n \in \mathbb{N}}$ be the corresponding simple point process (arrival times), ...
9
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1answer
431 views

Summing moments and Riemann zeta values

Let $d\mu_n(x)=\cos^{2n}x\,dx$ and consider the averages of moments $$\alpha_n=\frac{\int_0^{\pi/2}x^4d\mu_n(x)}{\int_0^{\pi/2}d\mu_n(x)}.$$ Then, I have encountered a curious evaluation $$\sum_{n=1}^{...
30
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1answer
1k views

$\mathbb{E}[X^4]=1$, $X,Y$ iid, what's the best upper bound of $\mathbb{E}[(X-Y)^4]$?

Let $X,Y$ be i.i.d. random variables, $\mathbb{E}[X^4]=1$, what's the best upper bound for $\mathbb{E}[(X-Y)^4]$ ? A trivial upper bound is $16$, since $(X-Y)^4 \leq 8 (X^4+Y^4)$ then take ...
1
vote
1answer
70 views

Convergence rate of $\operatorname E|\langle X,f_n\rangle|^p$

Suppose that $X$ is a random element with values in a separable Hilbert space $\mathbb H$ such that $\operatorname EX=0$ and $\operatorname E\|X\|^2<\infty$. Suppose that $f_1,f_2,\ldots$ form an ...
1
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0answers
104 views

Existence of moment-constrained maximum entropy distribution with support $[0,1]^n$

Given a finite set of moment values $\{\mu_1,\ldots,\mu_N\}$, for which the multi-dimensional finite Hausdorff moment problem is determined. That is, we know that at least one distribution $\mathcal{D}...
0
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1answer
89 views

1D functional equation: solve for function with given expected value w.r.t normal density

Given scalars $c_1, c_2 > 0$, how would one go about solving, for non-expansive (i.e 1-Lipschitz) $\phi: \mathbb R \rightarrow (-\infty,+\infty]$, the following equation $$ \begin{split} \mathbb ...
3
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2answers
603 views

Limit of the logarithm of the $L^p$ norm over the logarithm of $p$ as $p$ goes to infinity

Let $\mu$ be some positive measure on $\mathbb{R}$. For technical reasons, I would like to know if the limit $$\lim_{p\rightarrow\infty}\frac {\ln \|f\|_{L^p(\mu)}}{\ln p}$$ exists in $[0,\infty]$ for ...
3
votes
1answer
111 views

General result for the N-point correlation of the Poisson process (and its derivative)?

I am specifically interested in computing: $$\mathbb{E}[S_p S_q S_s S_t]$$ where $S_t=\frac{dN_t}{dt}$ and $N_t$ is a Poisson process (so $S_t$ is a "Poisson pulse train"): $$\mathbb{P}(N_t=...
5
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1answer
282 views

A Minkowski-like inequality

Assume that $X$ and $Y$ are two arbitrary non-negative random variables. Is the following inequality true for $1\leq\alpha\leq 2$? \begin{align} \left(\mathbb{E}\left[X^\alpha\right]-\mathbb{E}\left[...
5
votes
1answer
208 views

uniquely determining a distribution using moments

Let $A$ be a parametric family of probability distributions that include all distributions in the form of $\phi(X)$ where $X\sim\mathcal{N}(0,\mathbf{I})$ is jointly Gaussian and $\phi:\mathbb{R}^d\to ...
4
votes
1answer
576 views

Numerical evaluation/approximation of non-central high-order moments of high-dimensional Gaussian measures?

I need to numerically evaluate/approximate non-central high-order moments of high-dimensional Gaussian measures/distributions with given mathematical expectations and covariance matrices. The Gaussian ...
5
votes
2answers
589 views

Fractional moments of Poisson distribution

I wonder if there is a formula to calculate the fractional (0,1) moments of a Poisson distribution? Thanks in advance.
4
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1answer
137 views

Does this moment inequality hold for any probability measure on the positive real line?

Problem statement Let $P$ be a probability measure on the positive real line and assume all it's raw moments, $\mu_k = \mathbb{E}[x^k]$, $k=1,2,\dots$ exist and $\mu_k < \infty$ for all $k$. Let $...
2
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0answers
175 views

Moments of a Normal-Wishart distribution

Do known expressions exist for the moments of a gaussian-wishart (aka normal wishart) distribution? $$NW(\mu,K\mid\mu_0,\lambda_0, v, W) = \frac{|\lambda_0K|^{1/2}}{(2\pi)^{d/2}}e^{-0.5([\mu - \mu_0]...
0
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1answer
156 views

Why study the moment problem in one dimensional case( Hamburger moment problem)

I have been reading about moment problem and I have been curious about the following question. What is the motivation for studying the Hamburger moment problem(one dimensional moment problem? I ...
3
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0answers
115 views

Any chance to get the moments of this exotic distribution?

Let us define the following cumulative distribution: \begin{align} \Pr (Y(t)\geq a)=\sum_{n=0}^\infty \frac{e^{-kt}(kt)^n }{n!}\int_a^\infty[\circledast_{f}\circ H_a ]^n\delta (x) dx \end{align} where ...
1
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0answers
104 views

Existence of a Laplace transform that takes specific values on the integers

The classical Marcinkiewicz theorem (1939) states that if a random variable $X$ has a Laplace transform/characteristic function of the form $\mathbb{E}(e^{tX})=e^{P(t)} $ with $P$ a polynomial, then ...