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

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Date

2010

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Elsevier Science Bv

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Mathematics
(2000)
The Atılım University Department of Mathematics was founded in 2000 and it offers education in English. The Department offers students the opportunity to obtain a certificate in Mathematical Finance or Cryptography, aside from their undergraduate diploma. Our students may obtain a diploma secondary to their diploma in Mathematics with the Double-Major Program; as well as a certificate in their minor alongside their diploma in Mathematics through the Minor Program. Our graduates may pursue a career in academics at universities, as well as be hired in sectors such as finance, education, banking, and informatics. Our Department has been accredited by the evaluation and accreditation organization FEDEK for a duration of 5 years (until September 30th, 2025), the maximum FEDEK accreditation period achievable. Our Department is globally and nationally among the leading Mathematics departments with a program that suits international standards and a qualified academic staff; even more so for the last five years with our rankings in the field rankings of URAP, THE, USNEWS and WEBOFMETRIC.

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Abstract

We present a direct, short and transparent proof of the following result: The product X-1 ... X-n of independent exponential random variables X-1,...,X-n 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). (C) 2010 Elsevier B.V. All rights reserved.

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Keywords

Product of exponential random variables, Stieltjes problem of moments, M-determinate distribution, M-indeterminate distribution

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2

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Q4

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Volume

80

Issue

9-10

Start Page

792

End Page

796

URI

https://doi.org/10.1016/j.spl.2010.01.012
 https://hdl.handle.net/20.500.14411/1468

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