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
Entropy convergence of finite moment approximations in Hamburger and Stieltjes problems / Milev, M.; Tagliani, A.. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - STAMPA. - 2017:120(2017), pp. 114-117. [10.1016/j.spl.2016.09.017]
Entropy convergence of finite moment approximations in Hamburger and Stieltjes problems
M. Milev;A. Tagliani
2017-01-01
Abstract
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 entropyFile in questo prodotto:
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