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Recovering a distribution from its translated fractional moments

Author

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  • Gzyl, H.
  • Tagliani, A.

Abstract

We take up the problem of determining the distribution of the hitting time of a parabola by a Brownian motion. We use the maximum entropy method to obtain a good approximation to the true density from its translated fractional moments.

Suggested Citation

  • Gzyl, H. & Tagliani, A., 2016. "Recovering a distribution from its translated fractional moments," Statistics & Probability Letters, Elsevier, vol. 118(C), pages 171-176.
    • Handle: RePEc:eee:stapro:v:118:y:2016:i:c:p:171-176
    DOI: 10.1016/j.spl.2016.06.024
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