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Teoriya Veroyatnostei i ee Primeneniya, 1995, Volume 40, Issue 2, Pages 270–285 (Mi tvp3476)  

This article is cited in 3 scientific papers (total in 3 papers)

Characterization of probability law by absolute moments of its partial sums

M. Sh. Bravermana, C. L. Mallowsb, L. A. Sheppb

a Applied Mathematics Institute, DVO, Academy of Sciences of the USSR, Kharkov Branch
b АТ&Т Bell Laboratories, Murray Hill, USA
Abstract: If $S_n=X_1+\dots+X_n$, where $X_i$ are independent and identically distributed (i.i.d.) standard normal, then $\mathbf{E}|S_n|\equiv\sqrt{2n/\pi}$, $n\ge 0$. We show that no other symmetric law has exactly these “moments”; the general case remains (stubbornly) open. If $X$ is standard two-sided exponential, then $\mathbf{E}|S_n|=2n2^{-2n}\binom{2n}n$, $n\ge 0$. We show the latter moments are obtained exactly for all $n$ also for $X_i\sim B(2;0.5)$, the sum of two standard ($\pm 1$-valued) Bernoulli's as well as for many other laws including unsymmetrical ones: $X_i\sim G-1$, where $G$ is geometric with mean 1, is one example. Our interest in this delicate nonlinear inverse problem (which was initiated by Klebanov, cf. [12]) of inverting the moments to recover the law was also drawn by the fact that it gives a way to study positive definite functions through the formula $\mathbf{E}|S_n|=(2/\pi)\int_0^\infty\operatorname{Re}(1-\varphi^n(1/u))\,du$, $n\geqq 0$, expressing $E|S_n|$ in terms of the moments of $\varphi$, where $\varphi$ is the characteristic function of $X$, $\varphi(u)=\mathbf{E}\exp(iuX)$ We show that if for some $b>0$, $\psi_b(u)=\varphi(b\operatorname{tan}(u/b))$ is a positive definite function then the distributions corresponding to $\varphi$ and $\psi_b$ have the same $\mathbf{E}|S_n|$ moments for all $n$. We show that if $X$ is Bernoulli with zero mean and values $\pm 1$ then the moments characterize the distribution uniquely even among nonsymmetric laws. In general however we expect that the moments do not characterize the law, and this may well be the only nontrivial case of uniqueness.We extend some of our results to the case of $p$th moments, $p$ different from an even integer.
Keywords: independent identically distributed random variables, absolute moments of partial sums, induced measure of characteristic function, symmetric and unsymmetric laws, positively defined function.
Received: 29.07.1994
English version:
Theory of Probability and its Applications, 1995, Volume 40, Issue 2, Pages 238–249
DOI: https://doi.org/10.1137/1140027
Bibliographic databases:
Language: Russian
Citation: M. Sh. Braverman, C. L. Mallows, L. A. Shepp, “Characterization of probability law by absolute moments of its partial sums”, Teor. Veroyatnost. i Primenen., 40:2 (1995), 270–285; Theory Probab. Appl., 40:2 (1995), 238–249
Citation in format AMSBIB
\Bibitem{BraMalShe95}
\by M.~Sh.~Braverman, C.~L.~Mallows, L.~A.~Shepp
\paper Characterization of probability law by absolute moments of its partial sums
\jour Teor. Veroyatnost. i Primenen.
\yr 1995
\vol 40
\issue 2
\pages 270--285
\mathnet{http://mi.mathnet.ru/tvp3476}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1346466}
\zmath{https://zbmath.org/?q=an:0852.62017|0840.62013}
\transl
\jour Theory Probab. Appl.
\yr 1995
\vol 40
\issue 2
\pages 238--249
\crossref{https://doi.org/10.1137/1140027}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=A1996VE35900004}
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  • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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