A procedure for the estimation of probability density functions of positive random variables by its fractional moments, is presented. When all the available information is provided by population fractional moments a criterion of choosing fractional moments themselves is detected. When only a sample is known, Jaynes' maximum entropy procedure and the Akaike's estimation procedure are joined together for determining respectively, what and how many sample fractional moments have to be used in the estimation of the density. Some numerical experiments are provided.
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Inverardi et al. (2003) studied this question.
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