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Asymptotic Efficiency of Maximum Entropy Estimates

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Abstract

The problem of entropy estimation of probability density functions with allowance for real data is posed (the maximum entropy estimation (MEE) problem). Global existence conditions for the implicit dependence of Lagrange multipliers on data collection are obtained. The asymptotic efficiency of maximum entropy estimates is proved.

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Funding

This study was supported by the Russian Foundation for Basic Research, project no. 20-07-00470.

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Authors and Affiliations

  1. Federal Research Center “Computer Science and Control”, Russian Academy of Sciences, 119333, Moscow, Russia

    Yu. S. Popkov

  2. Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, 117997, Moscow, Russia

    Yu. S. Popkov

Authors
  1. Yu. S. Popkov
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Correspondence to Yu. S. Popkov.

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Translated by N. Berestova

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Popkov, Y.S. Asymptotic Efficiency of Maximum Entropy Estimates. Dokl. Math. 102, 350–352 (2020). https://doi.org/10.1134/S106456242004016X

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  • DOI: https://doi.org/10.1134/S106456242004016X

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