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Extreme Measures with Given Moments or Marginals

Published online by Cambridge University Press:  20 November 2018

Valerie Girardin
Valerie Girardin*
Affiliation:
Laboratoire de Statistique Bat. 425, Université Paris-Sud 91405 Orsay Cedex, France e-mail: GIRARDIN@stats.matups.fr
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Abstract

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We study the generalized moment problem and the marginal constraints problem. We connect them when the measures have a finite support.

The extreme points of the convex set of solutions with a finite support are determined in both problems.

For the moment problem, they are shown to span in the weak topology the set of all the solutions.

Résumé

Résumé

Nous étudions le problème des moments généralisés et le problème des constraintes de marginales. Nous les relions lorsque les mesures considérées sont à support fini.

Nous déterminons les points extrémaux du convexe des solutions à support discret dans les deux cas.

Nous montrons pour le problème des moments qu'ils engendrent pour la topologie de la convergence étroite toutes les solutions.

Keywords

60B2062B10generalized momentsmarginalsextreme points
Type
Research Article
Information
Canadian Journal of Mathematics , Volume 47 , Issue 5 , 01 October 1995 , pp. 946 - 958
Copyright
Copyright © Canadian Mathematical Society 1995

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