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The Effect of Correlation on the Change of Entropy of the Maximum Entropy joint Distribution
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Shahram Mansoury *   , Eynollah Pasha |
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Abstract: (20428 Views) |
| Stochastically ordered random variables with given marginal distributions are combined into a joint distribution preserving the ordering and the marginals using a maximum entropy principle. A closed-form of the maximum entropy density function is obtained. Next we have compared the entropies of maximum entropy distributions, under two constraints The constraints are either prescription of marginal distributions and the marginals and covariance matrix. |
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| Keywords: Stochastically Ordered Random Variables, Maximum Entropy Principle, Kullback Liebler Distance. |
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Full-Text [PDF 316 kb]
(3815 Downloads)
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Type of Study: Applied |
Subject:
Statistical Inference
Received: 2012/01/17 | Accepted: 2012/01/17 | Published: 2020/02/18
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