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An application of General Maximum Entropy to Utility


  • Paulo Ferreira

    () (University of Évora, CEFAGE-UE)

  • Andreia Dionísio

    () (University of Évora, CEFAGE-UE)


Methodologies related with information theory have been increasingly used in studies in economics and management. In this paper we use Generalized Maximum Entropy as an alternative to the Ordinary Least Squares in the estimation of utility functions. We estimated linear, logarithmic and power utility functions as well as confidence intervals and in order to compare both methodologies. Results point to the greater accuracy of Generalized Maximum Entropy. Linear function seems to be the one with best goodness of fit.

Suggested Citation

  • Paulo Ferreira & Andreia Dionísio, 2012. "An application of General Maximum Entropy to Utility," CEFAGE-UE Working Papers 2012_18, University of Evora, CEFAGE-UE (Portugal).
  • Handle: RePEc:cfe:wpcefa:2012_18

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    References listed on IDEAS

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    More about this item


    generalized maximum entropy; prior; linera function; power function; logarithmic function.;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General

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