Exact Probability Bounds under Moment-matching Restrictions
Statistics Theory
2015-04-17 v2 Statistics Theory
Abstract
Lindsay and Basak (2000) posed the question of how far from normality could a distribution be if it matches normal moments. They provided a bound on the maximal difference in c.d.f.'s, and implied that these bounds were attained. It will be shown here that in fact the bound is not attained if the number of even moments matched is odd. An explicit solution is developed as a symmetric distribution with a finite number of mass points when the number of even moments matched is even, and this bound for the even case is shown to hold as an explicit limit for the subsequent odd case.
Keywords
Cite
@article{arxiv.1411.2566,
title = {Exact Probability Bounds under Moment-matching Restrictions},
author = {Stephen Portnoy},
journal= {arXiv preprint arXiv:1411.2566},
year = {2015}
}