Some recent and new results on the maximum entropy distribution

DOI10.1016/0167-7152(82)90006-2MaRDI QIDQ1836239zbMATH OpenOpenAlexFDO

Authors Henri Theil

Publication date 1982

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(82)90006-2

zbMATH Keywords

density estimationridge regressioncovariance matrix estimationmaximum entropy distribution

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites work

• scientific article; zbMATH DE number 3682857 (Why is no real title available?)
• Empirical Bayes estimation of the multivariate normal covariance matrix
• Estimates and Their Sampling Variance of Parameters of Certain Heteroscedastic Distributions
• Estimating the distribution function of a symmetric distribution
• Ridge Regression: Biased Estimation for Nonorthogonal Problems

Cited in

(2)

• Maximum entropy measurement error estimates of singular covariance matrices in undersized samples
• The conditioning of the maximum entropy covariance matrix and its inverse

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