A dynamic view to moment matching of truncated distributions

Benoit Liquet; Yoni Nazarathy

doi:10.1016/j.spl.2015.05.006

A dynamic view to moment matching of truncated distributions

Benoit Liquet, Yoni Nazarathy

Research output: Contribution to journal › Article › peer-review

7 Citations (Scopus)

Abstract

We derive an ordinary differential equation (ODE) for solving moment matching problems of truncated univariate distributions. Our method produces a trajectory that solves a family of moment matching problems for different truncation values all with the same target moments.

Original language	English
Pages (from-to)	87-93
Number of pages	7
Journal	Statistics and Probability Letters
Volume	104
DOIs	https://doi.org/10.1016/j.spl.2015.05.006
Publication status	Published - Sept 2015
Externally published	Yes

Keywords

Location-scale families
Moment matching
Normal distribution
Truncated distributions

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10.1016/j.spl.2015.05.006

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title = "A dynamic view to moment matching of truncated distributions",

abstract = "We derive an ordinary differential equation (ODE) for solving moment matching problems of truncated univariate distributions. Our method produces a trajectory that solves a family of moment matching problems for different truncation values all with the same target moments.",

keywords = "Location-scale families, Moment matching, Normal distribution, Truncated distributions",

author = "Benoit Liquet and Yoni Nazarathy",

year = "2015",

month = sep,

doi = "10.1016/j.spl.2015.05.006",

language = "English",

volume = "104",

pages = "87--93",

journal = "Statistics and Probability Letters",

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T1 - A dynamic view to moment matching of truncated distributions

AU - Liquet, Benoit

AU - Nazarathy, Yoni

PY - 2015/9

Y1 - 2015/9

N2 - We derive an ordinary differential equation (ODE) for solving moment matching problems of truncated univariate distributions. Our method produces a trajectory that solves a family of moment matching problems for different truncation values all with the same target moments.

AB - We derive an ordinary differential equation (ODE) for solving moment matching problems of truncated univariate distributions. Our method produces a trajectory that solves a family of moment matching problems for different truncation values all with the same target moments.

KW - Location-scale families

KW - Moment matching

KW - Normal distribution

KW - Truncated distributions

UR - https://www.scopus.com/pages/publications/84934881002

UR - http://purl.org/au-research/grants/arc/DP130100156

UR - http://purl.org/au-research/grants/arc/DE130100291

U2 - 10.1016/j.spl.2015.05.006

DO - 10.1016/j.spl.2015.05.006

M3 - Article

SN - 0167-7152

VL - 104

SP - 87

EP - 93

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

A dynamic view to moment matching of truncated distributions

Abstract

Keywords

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