A New Method for Estimating and Simulating Maximum Entropy Densities

• 발행기관: 한국계량경제학회
• 저자명: Jae-Young Kim Joonhwan Lee
• 간행물 정보: 『JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS』Vol.23 No.4, 261~277쪽, 전체 17쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2012.12.31

영문 초록

The maximum entropy (maxent) approach provides an attractive and appealing method for obtaining a probability distribution in some limited information environments. The maxent approach, however, is not easy to use for practical application since analytic derivation of a maxent density is usually not feasible. This paper proposes a method of estimating and simulating an maxent density. It is a numerically tractable and stable method that is relatively simple in real computation. The proposed method is capable of handling problems for which existing methods are difficult to apply or are subject to occasional failure. Monte Carlo results confirm that the proposed method can be well applied for cases when existing methods are subject to occasional failure.

목차

Abstract

1. INTRODUCTION

2. THE MAX-ENT DENSITY

3. A NEW METHOD FOR ESTIMATING MAXENT DENSITIES

4. MONTE CARLO EXPERIMENTS

5. CONCLUSION

REFERENCES

키워드

Entropy maximization Cross entropy Moment conditions Numerical method