Entropy 2009, 11(4), 917-930; doi:10.3390/e11040917
Article

A Weighted Generalized Maximum Entropy Estimator with a Data-driven Weight

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Received: 24 September 2009; Accepted: 16 November 2009 / Published: 26 November 2009
(This article belongs to the Special Issue Maximum Entropy)
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract: The method of Generalized Maximum Entropy (GME), proposed in Golan, Judge and Miller (1996), is an information-theoretic approach that is robust to multicolinearity problem. It uses an objective function that is the sum of the entropies for coefficient distributions and disturbance distributions. This method can be generalized to the weighted GME (W-GME), where different weights are assigned to the two entropies in the objective function. We propose a data-driven method to select the weights in the entropy objective function. We use the least squares cross validation to derive the optimal weights. MonteCarlo simulations demonstrate that the proposedW-GME estimator is comparable to and often outperforms the conventional GME estimator, which places equal weights on the entropies of coefficient and disturbance distributions.
Keywords: maximum entropy; generalized maximum entropy method; cross validation
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MDPI and ACS Style

Wu, X. A Weighted Generalized Maximum Entropy Estimator with a Data-driven Weight. Entropy 2009, 11, 917-930.

AMA Style

Wu X. A Weighted Generalized Maximum Entropy Estimator with a Data-driven Weight. Entropy. 2009; 11(4):917-930.

Chicago/Turabian Style

Wu, Ximing. 2009. "A Weighted Generalized Maximum Entropy Estimator with a Data-driven Weight." Entropy 11, no. 4: 917-930.

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