On Maximum Entropy Characterization of Pearson's Type II and VII Multivariate Distributions

K. Zografos

Journal of Multivariate Analysis, 1999, vol. 71, issue 1, 67-75

Abstract: In this paper a characterization is presented for Pearson's Type II and VII multivariate distributions by means of the maximum entropy principle. It is shown that within the class of multivariate distributions, that satisfy appropriate constraints expressed by mean values, the Pearson Type II and VII distributions maximize the Shannon entropy.

Keywords: Shannon entropy maximum entropy principle Pearson's type II and VII distributions multivariate t-distribution; multivariate Cauchy distribution (search for similar items in EconPapers)
Date: 1999
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