MaxEnt alternatives to pearson family distributions
Author(s) -
Barrie Stokes
Publication year - 2012
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
SCImago Journal Rank - 0.177
H-Index - 75
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/1.3703642
Subject(s) - principle of maximum entropy , mathematics , univariate , lagrange multiplier , prior probability , probability density function , entropy (arrow of time) , statistics , bayesian probability , mathematical optimization , multivariate statistics , physics , quantum mechanics
In a previous MaxEnt conference [11] a method of obtaining MaxEnt univariate distributions under a variety of constraints was presented. The Mathematica function Interpolation [], normally used with numerical data, can also process "semi-symbolic" data, and Lagrange Multiplier equations were solved for a set of symbolic ordinates describing the required MaxEnt probability density function. We apply a more developed version of this approach to finding MaxEnt distributions having prescribed β1 and β2 values, and compare the entropy of the MaxEnt distribution to that of the Pearson family distribution having the same β1 and β2. These MaxEnt distributions do have, in general, greater entropy than the related Pearson distribution. In accordance with Jaynes' Maximum Entropy Principle, these MaxEnt distributions are thus to be preferred to the corresponding Pearson distributions as priors in Bayes' Theorem
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