Determination of Maximum Entropy Probability Distribution via Burg’s Measure of Entropy
نویسندگان
چکیده
Abstract In this paper, we consider the methods of obtaining maximum entropy multivariate distributions via Burg’s measure of entropy under the constraints that the marginal distributions or the marginals and covariance matrix are prescribed. Next, a numerical method is considered for the cases of unavailable closed form of solutions. Finally, the method is illustrated via a numerical example.
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