Bounded Statistics

08/04/2018

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by   Pranava Chaitanya Jayanti, et al.

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If two probability density functions (PDFs) have values for their first n moments which are quite close to each other (upper bounds of their differences are known), can it be expected that the PDFs themselves are very similar? Shown below is an algorithm to quantitatively estimate this "similarity" between the given PDFs, depending on how many moments one has information about. This method involves the concept of functions behaving "similarly" at certain "length scales", which is also precisely defined. This technique could find use in data analysis, to compare a data set with a PDF or another data set, without having to fit a functional form to the data.