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

We present a direct, short and transparent proof of the following result: 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).
Year of publication:
2010
Authors: Ostrovska, Sofiya ; Stoyanov, Jordan
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 9-10, p. 792-796
Publisher: Elsevier
Keywords: Product of exponential random variables Stieltjes problem of moments M-determinate distribution M-indeterminate distribution
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008488251
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