Asymptotic properties of the algebraic moment range process |
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Authors: | H. Dette F. Gamboa |
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Affiliation: | 1.Mathematik III, NA 3 / 72,Bochum,Germany;2.Laboratoire de Statistique et de Probabilités, UMR C5583,Université Paul Sabatier,Toulouse cedex 4,France |
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Abstract: | Let M n denote the n-th moment space of the set of all probability measures on the interval [0, 1], P n the uniform distribution on the set M n and r n + 1 the maximal range of the (n + 1)-th moments corresponding to a random moment point C n with distribution P n on M n . We study several asymptotic properties of the stochastic process (r ⌊nt⌋+1) t∈[0,T] if n → ∞. In particular weak convergence to a Gaussian process and a large deviation principle are established. |
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Keywords: | moment spaces weak convergence large deviations canonical moments range of the moment space beta-distribution |
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