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Teoriya Veroyatnostei i ee Primeneniya, 2002, Volume 47, Issue 1, Pages 159–166
DOI: https://doi.org/10.4213/tvp3378
(Mi tvp3378)
 

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
English version:
Theory of Probability and its Applications, 2003, Volume 47, Issue 1, Pages 164–171
DOI: https://doi.org/10.1137/S0040585X97979536
Bibliographic databases:
Document Type: Article
Language: Russian
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
Citation in format AMSBIB
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\by A.~V.~Makrushin
\paper The unimprovability of moment estimates
\jour Teor. Veroyatnost. i Primenen.
\yr 2002
\vol 47
\issue 1
\pages 159--166
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\crossref{https://doi.org/10.4213/tvp3378}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1978704}
\zmath{https://zbmath.org/?q=an:1033.60014}
\transl
\jour Theory Probab. Appl.
\yr 2003
\vol 47
\issue 1
\pages 164--171
\crossref{https://doi.org/10.1137/S0040585X97979536}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000183800400016}
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  • https://www.mathnet.ru/eng/tvp3378
  • https://doi.org/10.4213/tvp3378
  • https://www.mathnet.ru/eng/tvp/v47/i1/p159
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