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Maximum entropy and the Edgeworth expansion | IEEE Conference Publication | IEEE Xplore

Maximum entropy and the Edgeworth expansion


Abstract:

For sums of i.i.d. random variables the maximum entropy distribution with respect to the first moments fixed is compared with the Edgeworth expansion. It is demonstrated ...Show More

Abstract:

For sums of i.i.d. random variables the maximum entropy distribution with respect to the first moments fixed is compared with the Edgeworth expansion. It is demonstrated that the Edgeworth expansion can and shall be considered as a linear extrapolation of the maximum entropy distribution. The coefficients in the Edgeworth expansion can be used as a first approximation for numerical calculation of the maximum entropy distribution.
Date of Conference: 29 August 2005 - 01 September 2005
Date Added to IEEE Xplore: 14 November 2005
Print ISBN:0-7803-9480-1
Conference Location: Rotorua, New Zealand

References

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