On Maximum Entropy Characterization of Pearson's Type II and VII Multivariate Distributions

In this paper a characterization is presented for Pearson's Type II and VII multivariate distributions by means of the maximum entropy principle. It is shown that within the class of multivariate distributions, that satisfy appropriate constraints expressed by mean values, the Pearson Type II and VII distributions maximize the Shannon entropy.

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Year of publication:	1999
Authors:	Zografos, K.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 71.1999, 1, p. 67-75
Publisher:	Elsevier
Subject:	Shannon entropy maximum entropy principle Pearson's type II and VII distributions multivariate t-distribution \| multivariate Cauchy distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005006495