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.
引用
收藏
页码：327 / 345
页数：19
相关论文
共 50 条
  • [31] Maximum Entropy Estimation of Density Function Using Order Statistics
    Reza, Ali M.
    Kirlin, R. Lynn
    [J]. IEEE TRANSACTIONS ON INFORMATION THEORY, 2021, 67 (05) : 3075 - 3094
  • [32] MAXIMUM-ENTROPY IN THE PROBLEM OF MOMENTS
    MEAD, LR
    PAPANICOLAOU, N
    [J]. JOURNAL OF MATHEMATICAL PHYSICS, 1984, 25 (08) : 2404 - 2417
  • [33] Distribution functions from moments and the maximum-entropy method
    Poland, D
    [J]. NUMERICAL COMPUTER METHODS, PT D, 2004, 383 : 427 - 465
  • [34] An Effective Approach for Reliability-Based Sensitivity Analysis with the Principle of Maximum Entropy and Fractional Moments
    Zhang, Xufang
    Liu, Jiankai
    Yan, Ying
    Pandey, Mahesh
    [J]. ENTROPY, 2019, 21 (07)
  • [35] Asymmetric Generalized Gaussian Distribution Parameters Estimation based on Maximum Likelihood, Moments and Entropy
    Nacereddine, Nafaa
    Goumeidane, Aicha Baya
    [J]. 2019 IEEE 15TH INTERNATIONAL CONFERENCE ON INTELLIGENT COMPUTER COMMUNICATION AND PROCESSING (ICCP 2019), 2019, : 343 - 350
  • [36] MAXIMUM ENTROPY ESTIMATION OF THE PROBABILITY DENSITY FUNCTION FROM THE HISTOGRAM USING ORDER STATISTIC CONSTRAINTS
    Kirlin, R. Lynn
    Reza, Ali M.
    [J]. 2013 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH AND SIGNAL PROCESSING (ICASSP), 2013, : 6407 - 6410
  • [37] A MAXIMUM-ENTROPY BASED HEURISTIC FOR DENSITY-ESTIMATION FROM DATA IN HISTOGRAM FORM
    GOLANY, B
    PHILLIPS, FY
    [J]. DECISION SCIENCES, 1990, 21 (04) : 862 - 881
  • [38] A new maximum entropy method for estimation of multimodal probability density function
    Li, G.
    Wang, Y.X.
    Zeng, Y.
    He, W.X.
    [J]. Applied Mathematical Modelling, 2022, 102 : 137 - 152
  • [39] A new maximum entropy method for estimation of multimodal probability density function
    Li, G.
    Wang, Y. X.
    Zeng, Y.
    He, W. X.
    [J]. APPLIED MATHEMATICAL MODELLING, 2022, 102 : 137 - 152
  • [40] Maximum-Entropy Density Estimation for MRI Stochastic Surrogate Models
    Zhang, Zheng
    Farnoosh, Niloofar
    Klemas, Thomas
    Daniel, Luca
    [J]. IEEE ANTENNAS AND WIRELESS PROPAGATION LETTERS, 2014, 13 : 1656 - 1659
12345