Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4631399 | Applied Mathematics and Computation | 2012 | 14 Pages |
Abstract
How much information does the sequence of integer moments carry about the corresponding unknown absolutely continuous distribution? We prove that a reliable evaluation of the corresponding Shannon entropy can be done by exploiting some known theoretical results on the entropy convergence, uniquely involving exact moments without solving the underlying moment problem. All the procedure essentially rests on the solution of linear systems, with nearly singular matrices, and hence it requires both calculations in high precision and a pre-conditioning technique. Numerical examples are provided to support the theoretical results.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Mariyan Milev, Pierluigi Novi Inverardi, Aldo Tagliani,