Sample Dependence in the Maximum Entropy Solution to the Generalized Moment Problem

Abstract

The method of maximum entropy is quite a powerful tool to solve the generalized moment problem, which consists in determining the probability density of a random variableXfrom the knowledge of the expected values of a few functions of the variable. In actual practice, such expected values are determined from empirical samples, leaving open the question of the dependence of the solution upon the sample. It is the purpose of this note to take a few steps towards the analysis of such dependence.