Probability distributions and the maximum entropy principle

José Villa-Morales and Luis Rincón

Applied Mathematics and Computation, 2023, vol. 444, issue C

Abstract: It is shown that every probability distribution with finite entropy can be characterized as the minimum relative entropy distribution respect to a given non-negative function within a non-trivial collection of probability distributions. This result is extended to families of distributions. We also study sufficient conditions to guarantee the existence and uniqueness of a distribution with maximum entropy on certain families of distributions. Also several examples are presented of how the general results can be applied.

Keywords: Entropy; Relative entropy; Characterization of probability distributions (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:444:y:2023:i:c:s0096300322008748

DOI: 10.1016/j.amc.2022.127806

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