Large Deviations for Random Power Moment Problem

Details Large Deviations for Random Power Moment Problem Large Deviations for Random Power Moment Problem

2004-10-06

arxiv.org/abs/math/0410175v1

Annals of Probability 2004, Vol. 32, No. 3B, 2819-2837

Mathematics

Probability

Published by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Probability (http://www.imsta

Scientific paper

10.1214/009117904000000559

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].

Affiliated with

Also associated with

No associations

Rating

Large Deviations for Random Power Moment Problem does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Large Deviations for Random Power Moment Problem, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Large Deviations for Random Power Moment Problem will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-171355