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Stieltjes moment problem via fractional moments. (English) Zbl 1089.44003

The authors extend a procedure for the reconstruction of probability density function from the knowledge of its infinite sequence of ordinary moments [cf. the authors, ibid. 144, No. 1, 61–74 (2003; Zbl 1029.44003)] from the case of distributions with finite positive support (Hausdorff case) to the case where the distribution has \([0,\infty)\) support (Stieltjes case). The approximate density is obtained through a maximum entropy technique, under the constraint of few fractional moments. The authors prove that the approximate density is useful for calculating the expected values.

MSC:

44A60 Moment problems
65R10 Numerical methods for integral transforms

Citations:

Zbl 1029.44003
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References:

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