Hausdorff moment problem via fractional moments

DOI10.1016/S0096-3003(02)00391-0zbMATH Open1029.44003arXivphysics/0207041OpenAlexW1968705104MaRDI QIDQ1398653FDOQ1398653

Giorgio Pontuale, Aldo Tagliani, Pierluigi Novi Inverardi, Alberto Petri

Publication date: 7 August 2003

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Abstract: We outline an efficient method for the reconstruction of a probability density function from the knowledge of its infinite sequence of ordinary moments. The approximate density is obtained resorting to maximum entropy technique, under the constraint of some fractional moments. The latter ones are obtained explicitly in terms of the infinite sequence of given ordinary moments. It is proved that the approximate density converges in entropy to the underlying density, so that it demonstrates to be useful for calculating expected values.

Full work available at URL: https://arxiv.org/abs/physics/0207041

zbMATH Keywords

entropymaximum entropyHankel matrixfractional momentsHausdorff moment problem

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Moment problems (44A60)

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• Uncertainty Quantification of Bifurcations in Random Ordinary Differential Equations
• Solution of the strong Hamburger moment problem by Laurent continued fractions
• Moment information and entropy evaluation for probability densities
• Reconstruction of conditional expectations from product moments with applications
• Maxentropic solution of fractional moment problems
• Moment-recovered approximations of multivariate distributions: the Laplace transform inver\-sion
• The Hausdorff Moment Problem with Complex Exponents and a Müntz‐Szasz Theorem for Distributions
• Hausdorff moment problem: recovery of an unknown support for a probability density function
• Stieltjes moment problem via fractional moments
• Fractional Moments and Maximum Entropy: Geometric Meaning
• A new maximum entropy method for estimation of multimodal probability density function

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