Sample dependence in the maximum entropy solution to the generalized moment problem

2015/10/14 by Henryk Gzyl, Gzyl, Henryk
Mathematics · Physics and Astronomy · #FOS: Mathematics #Statistical Mechanics and Entropy #Statistics Theory (math.ST) #math.ST #stat.TH

paper · pdf · doi:10.48550/arxiv.1510.04062

arxiv created 2015/10/14 · openalex publication_date 2015/10/14 · arxiv updated 2015/10/15 · openalex created_date 2022/10/04 · openalex updated_date 2026/07/28

Abstract

The method of maximum entropy is quite a powerful tool to solve the generalized moment problem, which consists of determining the probability density of a random variable X from 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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