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Entropy concentration and the empirical coding game

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  • Peter Grünwald

Abstract

We give a characterization of maximum entropy/minimum relative entropy inference by providing two ‘strong entropy concentration’ theorems. These theorems unify and generalize Jaynes’‘concentration phenomenon’ and Van Campenhout and Cover's ‘conditional limit theorem’. The theorems characterize exactly in what sense a prior distribution Q conditioned on a given constraint and the distribution minimizing D(P ‖ Q) over all P satisfying the constraint are ‘close’ to each other. We then apply our theorems to establish the relationship between entropy concentration and a game‐theoretic characterization of maximum entropy inference of Topsøe and others.

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  • Peter Grünwald, 2008. "Entropy concentration and the empirical coding game," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 62(3), pages 374-392, August.
    • Handle: RePEc:bla:stanee:v:62:y:2008:i:3:p:374-392
    DOI: 10.1111/j.1467-9574.2008.00401.x
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