An efficient algorithm to compute maximum entropy densities

D. Ormoneit and Halbert White

Econometric Reviews, 1999, vol. 18, issue 2, 127-140

Abstract: We 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

Keywords: Density Estimation; Maximum Entropy Principle; Shannon Entropy; JEL Classification:C61; C63; C87 (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (18)

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DOI: 10.1080/07474939908800436

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