Maximum entropy density estimation from fractional moments

被引：82
|
作者：
Inverardi, PLN [1 ]
Tagliani, A [1 ]
机构：
[1] Univ Trent, Fac Econ, Dept Comp & Management Sci, I-38100 Trento, Italy
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2003年 / 32卷 / 02期
关键词：
entropy; fractional moments; Hankel matrix; maximum entropy; Hausdorff moment problem;
D O I：
10.1081/STA-120018189
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
A procedure for the estimation of probability density functions of positive random variables by its fractional moments, is presented. When all the available information is provided by population fractional moments a criterion of choosing fractional moments themselves is detected. When only a sample is known, Jaynes' maximum entropy procedure and the Akaike's estimation procedure are joined together for determining respectively, what and how many sample fractional moments have to be used in the estimation of the density. Some numerical experiments are provided.
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页码：327 / 345
页数：19
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