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Subject:
generate probability distribution given the moments
Category: Science > Math Asked by: thequestionmaster-ga List Price: $15.00 |
Posted:
11 Aug 2005 21:20 PDT
Expires: 10 Sep 2005 21:20 PDT Question ID: 554772 |
Given all the moments of a probability distribution is it possible to reconstruct the distribution curve? If so, how is this done in a general case? In particular if the first four moments; mean, variance, skew and kurtosis are equal to m,v,s & k respectively with all other moments equal to 0, what is the distribution function? |
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There is no answer at this time. |
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Subject:
Re: generate probability distribution given the moments
From: racecar-ga on 12 Aug 2005 13:29 PDT |
It is theoretically possible to reconstruct the PDF from all the moments, but it is not possible for all the higher moments to be zero if the lower ones are non zero. A distribution with nonzero variance cannot have a sixth moment of zero. |
Subject:
Re: generate probability distribution given the moments
From: hfshaw-ga on 12 Aug 2005 15:01 PDT |
If you know all the moments, you can determine the pdf by expressing the characteristic function of the pdf in terms of the raw moments, and then taking the inverse Fourier transform of the characteristic function. The characteristic function, f(t), of a pdf is the Fourier transform of the pdf, P(x): f(t) = Integral from -infinity to +infinity of {P(x)* exp(i*x*t) dx} Expanding exp(ixt) in a Maclaurin series yields: f(t) = Integral from -infinity to +infinity of (SUM from k = 0 to infinity of [P(x)*(t*x*i)^k/k!) dx} The raw moments are defined as : m_k = Integral from -infinity to +infinity of {P(x)*x^k dx}, k = 0 to infinity so we can rewrite the characteristic function as: f(t) = SUM from k = 0 to infinity of [m_k * (i*t)^k/k!] The pdf can be recovered from the characteristic function by taking the inverse Fourier transform of the characteristic function: P(x) = 1/(2*pi) * Integral from -infinity to +infinity of {exp(-itx)*f(t) dt} |
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