# Questions tagged [moments]

The moments tag has no usage guidance.

69
questions

**-4**

votes

**1**answer

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**

vote

**1**answer

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**

votes

**1**answer

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**

votes

**0**answers

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**

votes

**1**answer

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**

votes

**2**answers

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**

votes

**0**answers

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 ...

**0**

votes

**0**answers

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**

vote

**1**answer

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**

votes

**0**answers

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**

votes

**0**answers

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**

votes

**1**answer

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**

vote

**0**answers

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**

votes

**1**answer

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**

votes

**1**answer

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**

vote

**1**answer

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**

vote

**1**answer

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**

votes

**1**answer

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**

votes

**0**answers

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 ...

**0**

votes

**0**answers

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**

vote

**1**answer

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**

vote

**2**answers

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**

votes

**0**answers

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**

vote

**2**answers

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**

vote

**2**answers

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**

vote

**1**answer

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**

votes

**0**answers

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**

vote

**1**answer

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**

vote

**1**answer

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**

votes

**0**answers

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**

votes

**0**answers

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**

votes

**2**answers

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**

votes

**1**answer

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**

votes

**0**answers

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**

votes

**1**answer

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**

votes

**1**answer

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

**1**answer

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**

vote

**0**answers

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**

votes

**1**answer

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**

votes

**2**answers

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

**1**answer

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**

votes

**1**answer

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

**1**answer

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

**1**answer

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

**2**answers

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**

votes

**1**answer

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**

votes

**0**answers

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**

votes

**1**answer

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**

votes

**0**answers

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**

vote

**0**answers

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 ...