ACTA MATHEMATICA UNIVERSITATIS COMENIANAE
Vol. LXXIII, 1 (2004)
p. 107 – 114
Distribution Characterization in a Practical Moment Problem
H. C. Jimbo
Abstract.
We investigate a problem connected with the evaluation of the asymptotic
probability distribution function (APDFs) given from a set of finite order
moments by applying the Gram-Schmidt process with the aid of computer
algebra. By selecting weighting (discrete or continuous) function of similar
shape to desired (APDFs), orthogonal polynomial series are obtained that are
stable at high order and allow accurate approximation of tail probabilities.
AMS Subject classification: 62B05, 2B99, 37C75, 37D99.
Keywords:
Tail probabilities, problem of moments, probabilistic programming.
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Acta Mathematica Universitatis Comenianae
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