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Short Communications
The unimprovability of moment estimates
A. V. Makrushin
Abstract:
Let $\eta$ be a nonnegative random variable. A. M. Zubkov in [Obozrenie Prikl. Prom. Mat., 1 (1994), pp. 638–666 (in Russian)] obtained upper and low estimates for $P\{\eta>0\}$ in the form of a ratio of determinants formed by moments of $\eta$. The low estimates are always nonnegative and the upper estimates can take values from ${[1,\infty)}$. We show that the low and the upper estimates are unimprovable; i.e., for any random variable $\eta\ge 0$ there exist random variables $\zeta\geq 0$ and $\xi\geq 0$ with the same first moments as $\eta$ have, for which $P\{\zeta>0\}$ coincides with the low estimate and $P\{\xi>0\}$ coincides with the minimum of the upper estimate and 1.
Keywords:
unimprovability of estimates, moments, moment problem, moment estimates.
Received: 10.04.2001
Citation:
A. V. Makrushin, “The unimprovability of moment estimates”, Teor. Veroyatnost. i Primenen., 47:1 (2002), 159–166; Theory Probab. Appl., 47:1 (2003), 164–171
Linking options:
https://www.mathnet.ru/eng/tvp3378https://doi.org/10.4213/tvp3378 https://www.mathnet.ru/eng/tvp/v47/i1/p159
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Abstract page: | 238 | Full-text PDF : | 135 |
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