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Asymptotic properties of the algebraic moment range process
Authors:H. Dette  F. Gamboa
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
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.
Keywords:moment spaces  weak convergence  large deviations  canonical moments  range of the moment space  beta-distribution
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