Best finite approximations of Benford's law

DOI10.1007/S10959-018-0827-ZMaRDI QIDQ2312784zbMATH OpenOpenAlexFDO

Authors Arno Berger, Chuang Xu

Publication date 18 July 2019

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1803.10370

zbMATH Keywords

asymptotically best approximationBenford's lawbest uniform approximationKantorovich distanceKolmogorov distanceLévy distanceprobability metrics

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Inequalities; stochastic orderings (60E15) Exact distribution theory in statistics (62E15)

Abstract: For arbitrary Borel probability measures with compact support on the real line, characterizations are established of the best finitely supported approximations, relative to three familiar probability metrics (Levy, Kantorovich, and Kolmogorov), given any number of atoms, and allowing for additional constraints regarding weights or positions of atoms. As an application, best (constrained or unconstrained) approximations are identified for Benford's Law (logarithmic distribution of significands) and other familiar distributions. The results complement and extend known facts in the literature; they also provide new rigorous benchmarks against which to evaluate empirical observations regarding Benford's Law.

Review text

The set \(\mathcal{P}\) of all Borel probability measures on a given real compact interval can be organized as a metric space. The paper refers to the probability metrics on \(\mathcal{P}\) due to Lévy, Kantorovich, and Kolmogorov. For each of these distances, the best finitely supported approximation (with arbitrary given number of atoms) of any \(\mu\in\mathcal{P}\) is identified. In particular, best (constrained or unconstrained) approximations are highlighted for Benford's law (logarithmic distribution of significands). In this way, certain known results in the literature are extended. The paper also provides new rigorous tools to evaluate the empirical observations on Benford's law. This fine study is complemented by appropriate remarks and interesting numerical examples.

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Cited in

(2)

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