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Equal finitely many moments do not determine a law
Statement refuted
No fixed finite list of initial moments determines a probability law. For every integer there are distinct finitely supported Borel probability laws with identical moments of orders . The zeroth moment means the integral of the constant one, including at the atom zero.
Facts & Assumptions
Given: The hypotheses and conventions in the statement refuted.
A Borel probability law on the real line is the object whose distribution is at issue. Characteristic function of a real random variable.
The real binomial expansion includes zero arguments and zeroth powers. The binomial theorem in : .
Pascal recursion combines neighboring binomial coefficients. Pascal's rule , and the hockey-stick identity .
Finite weighted sums of Dirac measures are measures. Nonnegative scalar multiples and countable weighted sums of measures are measures.
A Dirac mass at any real point is a probability measure. A Dirac set function is a probability measure.
Counterexample
Put and All coefficients are nonnegative real images of the natural binomial coefficients. The binomial theorem at (1,1) and (-1,1) says that the sum of the even and odd coefficient totals is , while their difference is zero. Each total is . Thus these finite weighted measures are Borel probabilities. They are distinct because and .
For a polynomial P define . The binomial theorem gives for j>=1, while . By linearity each application lowers a positive degree by at least one and kills a constant, so whenever . To compute the iterate, induction gives The base r=0 is P(x). Subtract this expression at x from the expression at x+1: the interior coefficient of P(x+k) is , and the coefficients at k=0,r+1 are and one. This proves the induction including both endpoints. Taking r=N, x=0 and P(x)=x^j, j<N, yields . For j=0 the polynomial is constantly one, so its value at zero is one.
Every required moment is finite because the supports are finite. The difference of the jth moments of the two laws equals for . This proves the promised failure of determination for every m. When m=0 the witnesses are and and only total mass is matched. For m=2 the even law has masses 1/4 at 0 and 3/4 at 2, while the odd law has masses 3/4 at 1 and 1/4 at 3. Their means are both 3/2 and their second moments both 3, yet their masses at zero differ. All finite choices are specified by parity, and no AC is used.
Depends on
- Characteristic function of a real random variable
- The binomial theorem in $\mathbb{R}$: $(x+y)^{n} = \sum_{k<n+1} \iota\!\binom{n}{k}\, x^{k} y^{\,n-k}$
- Pascal's rule $\binom{n+1}{k+1} = \binom{n}{k} + \binom{n}{k+1}$, and the hockey-stick identity $\sum_{i \le n}\binom{i}{k} = \binom{n+1}{k+1}$
- Nonnegative scalar multiples and countable weighted sums of measures are measures
- A Dirac set function is a probability measure
Used by
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Sources
- Durrett, Probability: Theory and Examples, fifth edition (standard reference, not scraped)
- Norris, Probability and Measure (standard reference, not scraped)