The relationship between moments of truncated and original distributions plus some other simple structural properties of weighted distributions |
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Authors: | M C Jones |
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Institution: | (1) Mathematical Sciences Department, IBM Thomas J. Watson Research Center, P.O. Box 218, 10598 Yorktown Heights, New York, U.S.A. |
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Abstract: | A simple relationship between expectations of positive functions of random variables from truncated and original distributions
is pointed out. This is a special case of a relationship between moments of weighted and original distributions which is also
discussed. Another topic is that of expressing weighted mixture distributions as mixtures of weighted distributions and vice
versa. Finally, an error in some structural properties of weighted distributions given in the literature is identified and
corrected.
Research carried out while the author held a British Science and Engineering Research Council Postdoctoral Research Fellowship
in the Department of Statistics, University of Birmingham, U.K. |
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Keywords: | Harmonic mean incomplete moment mixture noncentral chi-squared distribution partially-truncated distribution positive-part Stein estimate |
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