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An iterative algorithm to bound partial moments

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  • Sander Muns

    (Tilburg University, Netspar)

Abstract

This paper presents an iterative algorithm that bounds the lower and upper partial moments of an arbitrary univariate random variable X by using the information contained in a sequence of finite moments of X. The obtained bounds on the partial moments imply bounds on the moments of the transformation f(X) for a certain function $$f:\mathbb {R}\rightarrow \mathbb {R}$$ f : R → R . Two examples illustrate the performance of the algorithm.

Suggested Citation

  • Sander Muns, 2019. "An iterative algorithm to bound partial moments," Computational Statistics, Springer, vol. 34(1), pages 89-122, March.
    • Handle: RePEc:spr:compst:v:34:y:2019:i:1:d:10.1007_s00180-018-0825-8
    DOI: 10.1007/s00180-018-0825-8
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    References listed on IDEAS

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