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Lookup NU author(s): Dr Jordan Stoyanov, Dr Leonid Tolmatz
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Let F be a distribution function with all moments finite and such that the problem of moments for F has a nonunique solution (F is M-indeterminate). Our goal is to explicitly describe a Stieltjes class S = {f ε = f[1 + εh], ε ∈ [-1, 1]} of distributions (here written in terms of the densities) all having the same moments as F. We study in detail the case when F is the distribution of the power transformation ξr, r > 0 of a random variable ξ with generalized gamma distribution. We derive new Stieltjes classes in this case and also for powers of the normal and the exponential distributions. We find the value of the index of dissimilarity for some of these classes. © Elsevier B.V. All rights reserved.
Author(s): Stoyanov J, Tolmatz L
Publication type: Article
Publication status: Published
Journal: Statistics and Probability Letters
Year: 2004
Volume: 69
Issue: 2
Pages: 213-219
ISSN (print): 0167-7152
ISSN (electronic):
Publisher: Elsevier BV
URL: http://dx.doi.org/10.1016/j.spl.2004.06.032
DOI: 10.1016/j.spl.2004.06.032
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