From low to high-dimensional moments without magic
Numerical Analysis
2018-05-17 v2
Abstract
We aim to compute the first few moments of a high-dimensional random vector from the first few moments of a number of its low-dimensional projections. To this end, we identify algebraic conditions on the set of low-dimensional projectors that yield explicit reconstruction formulas. We also provide a computational framework, with which suitable projectors can be derived by solving an optimization problem. Finally, we show that randomized projections permit approximate recovery.
Keywords
Cite
@article{arxiv.1601.07401,
title = {From low to high-dimensional moments without magic},
author = {Bernhard G. Bodmann and Martin Ehler and Manuel Graef},
journal= {arXiv preprint arXiv:1601.07401},
year = {2018}
}