Entropy convergence of finite moment approximations in Hamburger and Stieltjes problems

Mariyan Milev and Aldo Tagliani

Statistics & Probability Letters, 2017, vol. 120, issue C, 114-117

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 entropy.

Keywords: Density; Moments; Maximum entropy; Entropy convergence; Hankel matrix; Hamburger and Stieltjes moment problem (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2016.09.017

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