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A new proof that the product of three or more exponential random variables is moment-indeterminate

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  • Ostrovska, Sofiya
  • Stoyanov, Jordan

Abstract

We present a direct, short and transparent proof of the following result:Â The product X1...Xn of independent exponential random variables X1,...,Xn is moment-indeterminate if and only if n>=3. This and other complex analytic results concerning Stieltjes moment sequences and properties of the corresponding distributions appeared recently in Berg (2005).

Suggested Citation

  • Ostrovska, Sofiya & Stoyanov, Jordan, 2010. "A new proof that the product of three or more exponential random variables is moment-indeterminate," Statistics & Probability Letters, Elsevier, vol. 80(9-10), pages 792-796, May.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:9-10:p:792-796
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    References listed on IDEAS

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    1. Ostrovska, Sofiya & Stoyanov, Jordan, 2005. "Stieltjes classes for M-indeterminate powers of inverse Gaussian distributions," Statistics & Probability Letters, Elsevier, vol. 71(2), pages 165-171, February.
    2. Gwo Dong Lin, 1997. "On the moment problems," Statistics & Probability Letters, Elsevier, vol. 35(1), pages 85-90, August.
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    Cited by:

    1. Gwo Dong Lin & Jordan Stoyanov, 2015. "Moment Determinacy of Powers and Products of Nonnegative Random Variables," Journal of Theoretical Probability, Springer, vol. 28(4), pages 1337-1353, December.

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