Primitive Sequences for Probability Measures on Compact Intervals

Abstract

We introduce a sequence representation of a random variable $X$ supported on a compact interval $[a,b]$, which we call a primitive sequence. We construct this sequence by repeatedly antidifferentiating the associated cumulative distribution function of $X$ and evaluating the antiderivatives at the endpoint $b$. We show that the primitive sequence of $X$ can be identified as a factorially rescaled moment sequence of the reflected random variable $b-X$. Through this identification, we show that the primitive sequence transparently captures qualitative features of the distribution of $X$. We then connect primitive sequences directly to classical moment theory and exploit this connection to characterize admissible primitive sequences and to show that under natural topologies, the map from probability measures to primitive sequences is a homeomorphism. We end by examining the set of probability measures whose first $m$ primitive sequence terms are fixed, and thereby obtaining sharp upper and lower bounds on two functionals of those measures.