On the truncated Hausdorff moment problem under Sobolev regularity conditions

Werner Zellinger and Bernhard A. Moser

Applied Mathematics and Computation, 2021, vol. 400, issue C

Abstract: We study the problem of approximating the recovery of a probability distribution on the unit interval from its first k moments. As main result we obtain an upper bound on the L1 reconstruction error under the regularity assumption that the log-density function has square-integrable derivatives up to some natural order r>1. Our bound is of order O(k−r). A comparative study relates our findings to alternative conditions on the distributions.

Keywords: Truncated Hausdorff moment problem; Moment-based distribution approximation; Total variation distance; Maximum entropy (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:400:y:2021:i:c:s0096300321001053

DOI: 10.1016/j.amc.2021.126057

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