The Logarithmic Skew-Normal Distributions are Moment-Indeterminate

We study the class of logarithmic skew-normal (LSN) distributions . They have heavy tails; however, all their moments of positive integer orders are finite. We are interested in the problem of moments for such distributions. We show that the LSN distributions are all nonunique (moment-indeterminate)...

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Veröffentlicht in:Journal of applied probability 2009-09, Vol.46 (3), p.909-916
Hauptverfasser: Lin, Gwo Dong, Stoyanov, Jordan
Format: Artikel
Sprache:eng
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Zusammenfassung:We study the class of logarithmic skew-normal (LSN) distributions . They have heavy tails; however, all their moments of positive integer orders are finite. We are interested in the problem of moments for such distributions. We show that the LSN distributions are all nonunique (moment-indeterminate). Moreover, we explicitly describe Stieltjes classes for some LSN distributions; they are families of infinitely many distributions, which are different but have the same moment sequence as a fixed LSN distribution.
ISSN:0021-9002
1475-6072
DOI:10.1017/S0021900200005945