Discretizing Distributions with Exact Moments: Error Estimate and Convergence Analysis

Published in SIAM Journal on Numerical Analysis, 2015

After publishing the maximum entropy discretization method in Tanaka & Toda (2013), my coauthor Ken’ichiro Tanaka, who is an expert on numerical analysis, was interested in the error estimate and convergence analysis of the method. We worked on this in the summer of 2013.

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