Expressions for Rényi and Shannon entropies for multivariate distributions
Exact forms of Rényi and Shannon entropies are determined for several multivariate distributions, including multivariate t, multivariate Cauchy, multivariate Pearson type VII, multivariate Pearson type II, multivariate symmetric Kotz type, multivariate logistic, multivariate Burr, multivariate Pareto type I, multivariate Pareto type II, multivariate Pareto type III, multivariate Pareto type IV, Dirichlet, inverted Dirichlet, multivariate Liouville, multivariate exponential, multivariate Weinman exponential, multivariate ordered Weinman exponential, bivariate gamma exponential, bivariate conditionally specified exponential, multivariate Weibull and multivariate log-normal. Monotonicity properties of Rényi and Shannon entropies for these distributions are also studied. We believe that the results presented here will serve as an important reference for scientists and engineers in many areas.
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Volume (Year): 71 (2005)
Issue (Month): 1 (January)
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References listed on IDEAS
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- Golan, Amos & Judge, George G. & Miller, Douglas, 1996. "Maximum Entropy Econometrics," Staff General Research Papers 1488, Iowa State University, Department of Economics.
- G. Aulogiaris & K. Zografos, 2004. "A maximum entropy characterization of symmetric Kotz type and Burr multivariate distributions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 13(1), pages 65-83, June.
- Peddada, Shyamal Das & Richards, Donald St. P., 1991. "Entropy inequalities for some multivariate distributions," Journal of Multivariate Analysis, Elsevier, vol. 39(1), pages 202-208, October.
- Golan, Amos & Perloff, Jeffrey M., 2002. "Comparison of maximum entropy and higher-order entropy estimators," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 195-211, March.
- Zografos, K., 1999. "On Maximum Entropy Characterization of Pearson's Type II and VII Multivariate Distributions," Journal of Multivariate Analysis, Elsevier, vol. 71(1), pages 67-75, October.
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