The Uncertain Generalized Moment Problem with Complexity Constraint

2004 ◽  
pp. 267-278
Author(s):  
Christopher I. Byrnes ◽  
Anders Lindquist
Keyword(s):  
Moment Problem ◽  
Generalized Moment Problem ◽  
Generalized Moment

A generalized moment problem

1962 ◽  
Vol 146 (4) ◽  
pp. 326-330 ◽  
Author(s):  
Helmut H. Schaefer
Keyword(s):  
Moment Problem ◽  
Generalized Moment Problem ◽  
Generalized Moment

scholarly journals Sample Dependence in the Maximum Entropy Solution to the Generalized Moment Problem

2016 ◽  
Vol 2016 ◽  
pp. 1-5 ◽  
Author(s):  
Henryk Gzyl
Keyword(s):  
Probability Density ◽  
Maximum Entropy ◽  
Moment Problem ◽  
Entropy Solution ◽  
Random Variable ◽  
Actual Practice ◽  
Expected Values ◽  
Generalized Moment Problem ◽  
Generalized Moment

The method of maximum entropy is quite a powerful tool to solve the generalized moment problem, which consists in determining the probability density of a random variableXfrom the knowledge of the expected values of a few functions of the variable. In actual practice, such expected values are determined from empirical samples, leaving open the question of the dependence of the solution upon the sample. It is the purpose of this note to take a few steps towards the analysis of such dependence.

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