Abstract
The purpose of this paper is the recovering of a probability density function with support [0, 1] from the knowledge of its sequence of moments, i.e. the classical Hausdorff moment problem. To avoid the well-known ill-conditioning, firstly the moment curve is calculated from the assigned sequence of moments; next the unknown density is approximated by Maximum Entropy (MaxEnt) technique selecting some proper points on the moment curve. Exploiting convergence in entropy, a simplified quick procedure is suggested to recover the approximate density. An application to Laplace Transform inversion is illustrated.
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