Large deviations for random power moment problem.

DOI10.1214/009117904000000559MaRDI QIDQ1889800zbMATH OpenOpenAlexFDO

Authors Fabrice Gamboa, Li-Vang Lozada-Chang

Publication date 10 December 2004

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0410175

zbMATH Keywords

large deviationscanonical momentspower moment problem

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Probability distributions: general theory (60E05) Large deviations (60F10) Central limit and other weak theorems (60F05) Probabilistic measure theory (60A10)

Abstract: We consider the set M_n of all n-truncated power moment sequences of probability measures on [0,1]. We endow this set with the uniform probability. Picking randomly a point in M_n, we show that the upper canonical measure associated with this point satisfies a large deviation principle. Moderate deviation are also studied completing earlier results on asymptotic normality given by citeauthorChKS93 [Ann. Probab. 21 (1993) 1295-1309]. Surprisingly, our large deviations results allow us to compute explicitly the (n+1)th moment range size of the set of all probability measures having the same n first moments. The main tool to obtain these results is the representation of M_n on canonical moments [see the book of citeauthorDS97].

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Cited in

(15)

• A note on some random orthogonal polynomials on a compact interval
• Distributions on matrix moment spaces
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• Distributions on unbounded moment spaces and random moment sequences
• Large deviations for random matricial moment problems
• Asymptotic behavior of moment sequences
• Canonical moments and random spectral measures
• Universality in random moment problems
• Operator-valued spectral measures and large deviations
• Sum rules via large deviations
• Matrix measures, random moments, and Gaussian ensembles
• Hankel determinants of random moment sequences
• Random moment problems under constraints
• Determinants of block Hankel matrices for random matrix-valued measures
• Asymptotic properties of the algebraic moment range process

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