Entropy convergence of finite moment approximations in Hamburger and Stieltjes problems

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• 作者：Mariyan Milev^a ; ^{marianmilev2002@gmail.com" class="auth_mail" title="E-mail the corresponding author} ; Aldo Tagliani^b ; ^{aldo.tagliani@unitn.it" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Density ; Moments ; Maximum entropy ; Entropy convergence ; Hankel matrix ; Hamburger and Stieltjes moment problem
• 刊名：Statistics & Probability Letters
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：120
• 期：Complete
• 页码：114-117
• 全文大小：354 K

文摘

The Hamburger and Stieltjes moment problem and the sequence of maximum entropy (MaxEnt) approximates with given moments are considered. MaxEnt approximate converges in entropy to the unknown distribution when the Hamburger (or Stieltjes) moment problem is determinate and the underlying distribution has finite entropy.