Comparison of maximum entropy and higher-order entropy estimators
نویسندگان
چکیده
منابع مشابه
Comparison of Maximum Entropy and Higher-Order Entropy Estimators
We show that the generalized maximum entropy (GME) is the only estimation method that is consistent with a set of five axioms. The GME estimator can be nested using a single parameter, α, into two more general classes of estimators: GME-α estimators. Each of these GME-α estimators violates one of the five basic axioms. However, smallsample simulations demonstrate that certain members of these G...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2002
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(01)00120-8