The Moment Problem for Polynomial Forms in Normal Random Variables
Slud, Eric V.
Ann. Probab., Tome 21 (1993) no. 4, p. 2200-2214 / Harvested from Project Euclid
Let $Y$ be a random variable defined by a polynomial $p(W)$ of degree $n$ in finitely many normally distributed variables. This paper studies which such variables $Y$ are "determinate," i.e., have probability laws uniquely determined by their moments. Extending results of Berg, which applied to powers of a single normal variable, we prove that (a) $Y$ is determinate if $n = 1, 2$ or if $n = 4$, with the essential support of the law of $Y$ strictly smaller than the real line, and (b) $Y$ is not determinate either if $n$ is odd $\geq 3$ or if $n$ is even $\geq 6$ such that $p(\mathbf{w})$ attains a finite minimum value. Some other polynomials $Y = p(\mathbf{W})$ with even degree $n \geq 4$ are proved not to be determinate.
Publié le : 1993-10-14
Classification:  Hamburger and Stieltjes moment problems,  support,  indeterminate measure,  Carleman conditions,  Wiener-Ito integral,  60E10,  28C20,  30E05
@article{1176989017,
     author = {Slud, Eric V.},
     title = {The Moment Problem for Polynomial Forms in Normal Random Variables},
     journal = {Ann. Probab.},
     volume = {21},
     number = {4},
     year = {1993},
     pages = { 2200-2214},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176989017}
}
Slud, Eric V. The Moment Problem for Polynomial Forms in Normal Random Variables. Ann. Probab., Tome 21 (1993) no. 4, pp.  2200-2214. http://gdmltest.u-ga.fr/item/1176989017/