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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2002 Volume 47, Issue 1, Pages 159–166 (Mi tvp3378)

Short Communications

The unimprovability of moment estimates

A. V. Makrushin


Abstract: Let $\eta$ be a nonnegative random variable. A. M. Zubkov in [Obozrenie Prikl. Prom. Mat., 1 (1994), pp. 638–666 (in Russian)] obtained upper and low estimates for $P\{\eta>0\}$ in the form of a ratio of determinants formed by moments of $\eta$. The low estimates are always nonnegative and the upper estimates can take values from ${[1,\infty)}$. We show that the low and the upper estimates are unimprovable; i.e., for any random variable $\eta\ge 0$ there exist random variables $\zeta\geq 0$ and $\xi\geq 0$ with the same first moments as $\eta$ have, for which $P\{\zeta>0\}$ coincides with the low estimate and $P\{\xi>0\}$ coincides with the minimum of the upper estimate and 1.

Keywords: unimprovability of estimates, moments, moment problem, moment estimates.

Received: 10.04.2001

DOI: 10.4213/tvp3378


 English version:
Theory of Probability and its Applications, 2003, 47:1, 164–171

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