Reconstruction of conditional expectations from product moments with applications. (English) Zbl 1300.44001
Summary: In this paper, it is shown under conditions associated with the moment problem that a sequence of product moments uniquely determines a conditional expectation of two random variables. Then, a numerical procedure is derived to reconstruct a conditional expectation in terms of a sequence of its product moments.
MSC:
| 44A60 | Moment problems |
| 46N30 | Applications of functional analysis in probability theory and statistics |
| 65R10 | Numerical methods for integral transforms |
Keywords:
moment problem; characterization; conditional expectation; Vandermonde; product moments; numerical procedureReferences:
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