Random Moment Problems under Constraints

Abstract

We investigate moment sequences of probability measures on $E\subset\mathbb{R}$ under constraints of certain moments being fixed. This corresponds to studying sections of $n$-th moment spaces, i.e. the spaces of moment sequences of order $n$. By equipping these sections with the uniform or more general probability distributions, we manage to give for large $n$ precise results on the (probabilistic) barycenters of moment space sections and the fluctuations of random moments around these barycenters. The measures associated to the barycenters belong to the Bernstein-Szeg\H{o} class and show strong universal behavior. We prove Gaussian fluctuations and moderate and large deviations principles. Furthermore, we demonstrate how fixing moments by a constraint leads to breaking the connection between random moments and random matrices.