An efficient algorithm to compute maximum entropy densities
AbstractWe describe an algorithm to efficiently compute maximum entropy densities, i.e. densities maximizing the Shannon entropy - [image omitted]� under a set of constraints [image omitted]�. Our method is based on an algorithm by Zellner and Highfield, which has been found not to converge under a variety of circumstances. To demonstrate that our method overcomes these difficulties, we conduct numerous experiments for the special case gi(x) = xi, n = 4. An extensive table of results for this case and computer code are available on the World Wide Web
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Econometric Reviews.
Volume (Year): 18 (1999)
Issue (Month): 2 ()
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- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
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