On Minimal-Moment Generating Functions

Author: Spruill, M.C.

Source: Extremes, Volume 5, Number 2, June 2002 , pp. 145-155(11)

Publisher: Springer

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Abstract:

A formula expressing the inverse cumulative distribution function of a non-negative random variable in terms of contour integrals of its minimal-moment generating function is proved as well as an analog of the classical continuity theorem for characteristic functions.

Keywords: uniform integrability; L1 convergence; order statistics

Document Type: Research article

Affiliations: 1: School of Mathematics, Georgia Institute of Technology, Atlanta, GA 30332-0160

Publication date: 2002-06-01