Risk Analysis pp 357-366 | Cite as

Cross-Entropy Estimation of Distributions Based on Scarce Data

  • Niels C. Lind
  • Vicente Solana
Part of the Advances in Risk Analysis book series (AIRA, volume 8)

Abstract

A method is described to estimate a random variable using fractiles as constraints. The fractiles are exactly known for random samples, whether small or large. The method minimizes the cross-entropy, or entropy relative to a reference distribution, which may be selected to minimize the cross-entropy of the sample data. The method is simple to implement and avoids several disadvantages of the methods presently in common use.

Keywords

Cross-entropy relative entropy distribution scarce data estimation information fractile constraints 

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Copyright information

© Springer Science+Business Media New York 1991

Authors and Affiliations

  • Niels C. Lind
    • 1
  • Vicente Solana
    • 2
  1. 1.University of WaterlooWaterlooCanada
  2. 2.National Research Council of SpainMadridSpain

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