Large Deviations for random power moment problem
Gamboa, Fabrice ; Lozada-Chang, Li-Vang
Ann. Probab., Tome 32 (2004) no. 1A, p. 2819-2837 / Harvested from Project Euclid
We consider the set Mn 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 Mn, 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 Chang, Kemperman and Studden [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 Mn on canonical moments [see the book of Dette and Studden].
Publié le : 2004-07-14
Classification:  Large deviations,  power moment problem,  canonical moments,  60F10,  30E05
@article{1091813631,
     author = {Gamboa, Fabrice and Lozada-Chang, Li-Vang},
     title = {Large Deviations for random power moment problem},
     journal = {Ann. Probab.},
     volume = {32},
     number = {1A},
     year = {2004},
     pages = { 2819-2837},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1091813631}
}
Gamboa, Fabrice; Lozada-Chang, Li-Vang. Large Deviations for random power moment problem. Ann. Probab., Tome 32 (2004) no. 1A, pp.  2819-2837. http://gdmltest.u-ga.fr/item/1091813631/