We propose a partially adaptive estimator based on information theoretic maximum entropy estimates of the error distribution. The maximum entropy (maxent) densities have simple yet flexible functional forms to nest most of the mathematical distributions. Unlike the nonparametric fully adaptive...

This paper shows that there exits a unique maximum entropy density for any finite sample when arithmetic sample moments are used as side conditions. A sequential updating method to calculate the maxent entropy density subject to known moment constraints is proposed. Instead of imposing the...

This paper shows that there exits a unique maximum entropy density for any finite sample when arithmetic sample moments are used as side conditions. A sequential updating method to calculate the maxent entropy density subject to known moment constraints is proposed. Instead of imposing the...