Abstract:Moment restrictions specify a class of laws, not a predictive model. We obtain one by conditioning an independent sample from a reference law on its empirical moments, and define prediction as the law of a fixed block selected from that conditioned ensemble. On a finite partition this law is an exact mixture over empirical types. Under exact feasibility and lattice regularity, the mixing law has a Gaussian limit on the feasible tangent space, governed by the reduced Hessian, and the selected block approaches independent sampling from the Kullback-Leibler projection. A separate finite-sample bound gives the same product limit for general real-valued restrictions without lattice assumptions. Refinement recovers the projection on the original sample space. Parameterizing the projected family produces a predictive product criterion with a local inverse-covariance expansion, connecting the construction to generalized method of moments.
From: Daniel Zantedeschi [view email]
[v1]
Thu, 23 Oct 2025 17:03:17 UTC (23 KB)
[v2]
Wed, 18 Mar 2026 19:58:00 UTC (29 KB)
[v3]
Thu, 16 Jul 2026 17:13:12 UTC (177 KB)
[v4]
Tue, 28 Jul 2026 23:44:30 UTC (183 KB)
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