For a given set of moments whose predetermined values represent the available information, we consider the case where the Maximum Entropy (MaxEnt) solutions for Stieltjes and Hamburger reduced moment problems do not exist. Genuinely relying upon MaxEnt rationale we find the distribution with largest entropy and we prove that this distribution gives the best approximation of the true but unknown underlying distribution. Despite the nice properties just listed, the suggested approximation suffers from some numerical drawbacks and we will discuss this aspect in detail in the paper.
Stieltjes and Hamburger Reduced Moment Problem When MaxEnt Solution Does Not Exist / Novi Inverardi, Pier Luigi; Tagliani, Aldo. - In: MATHEMATICS. - ISSN 2227-7390. - ELETTRONICO. - 2021:9(4), 309(2021). [10.3390/math9040309]
Stieltjes and Hamburger Reduced Moment Problem When MaxEnt Solution Does Not Exist
Novi Inverardi, Pier Luigi;Tagliani, Aldo
2021-01-01
Abstract
For a given set of moments whose predetermined values represent the available information, we consider the case where the Maximum Entropy (MaxEnt) solutions for Stieltjes and Hamburger reduced moment problems do not exist. Genuinely relying upon MaxEnt rationale we find the distribution with largest entropy and we prove that this distribution gives the best approximation of the true but unknown underlying distribution. Despite the nice properties just listed, the suggested approximation suffers from some numerical drawbacks and we will discuss this aspect in detail in the paper.| File | Dimensione | Formato | |
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