منابع مشابه
Copulas with maximum entropy
We shall find a multi-dimensional checkerboard copula of maximum entropy that matches an observed set of grade correlation coefficients. This problem is formulated as the maximization of a concave function on a convex polytope. Under mild constraint qualifications we show that a unique solution exists in the core of the feasible region. The theory of Fenchel duality is used to reformulate the p...
متن کاملMaximum Entropy and the Moment Problem
Introduction. The trigonometric moment problem stands at the source of several major streams in analysis. From it flow developments in function theory, in spectral representation of operators, in probability, in approximation, and in the study of inverse problems. Here we connect it also with a group of questions centering on entropy and prediction. In turn, this will suggest a simple approach,...
متن کاملThe moment problem and maximum entropy: numerical investigation
The nite moment problem in the framework of maximum entropy approach is numerically investigated to recover a positive density function. Numerical experiments suggest that a few moments can be eeectively used as the moment space geometry. If an high machine precision is adopted, an estimate of the information content of a recovered function can be obtained.
متن کاملSpectral moment matching in the maximum entropy spectral analysis method
The formula for the spectral moments is expanded in a series consisting of autocorrelation terms. By using the autocorrelation extrapolation inherent in the maximum entropy method (MEM) for spectral analysis, it is found that good estimates of the moments can be found from a very low order autoregressive model. The motivation for this investigation came from results obtained during spectral ana...
متن کاملMaximum Entropy method with non-linear moment constraints: challenges
Traditionally, the Method of (Shannon-Kullback’s) Relative Entropy Maximization (REM) is considered with linear moment constraints. In this work, the method is studied under frequency moment constraints which are non-linear in probabilities. The constraints challenge some justifications of REM since a) axiomatic systems are developed for classical linear moment constraints, b) the feasible set ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2022
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.4269015