Some recent and new results on the maximum entropy distribution

This letter concerns the maximum entropy (ME) distribution proposed by Theil and Laitinen (1980); it summarizes some of the results obtained with this distribution and its explores the conditioning of the ME covariance matrix as the number of variables increases.

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Year of publication:	1982
Authors:	Theil, Henri
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 1.1982, 1, p. 17-22
Publisher:	Elsevier
Keywords:	Covariance matrix estimation density estimation entropy ridge regression

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

Persistent link: https://www.econbiz.de/10005138109