Maximum entropy in the generalized moment problem (Q4701593)
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scientific article; zbMATH DE number 1365620
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| English | Maximum entropy in the generalized moment problem |
scientific article; zbMATH DE number 1365620 |
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Maximum entropy in the generalized moment problem (English)
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21 November 1999
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generalized moment problem
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maximum entropy
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probability density function
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inverse problem
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0.8795192837715149
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0.8787830471992493
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The problem of estimating an unknown probability density function on the basis of some generalized known moments is an underdetermined inverse problem which occurs frequently in the physical and economic sciences. The authors show how the idea of maximum entropy can be used in the approximate characterization of a probability density function, defined on the interval \([0,+\infty)\), whose first generalized moments are assigned. Necessary and sufficient conditions guaranteeing existence of the solution are provided.
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