A Weighted Generalized Maximum Entropy Estimator with a Data-driven Weight
نویسندگان
چکیده
منابع مشابه
A Weighted Generalized Maximum Entropy Estimator with a Data-driven Weight
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...
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ژورنال
عنوان ژورنال: Entropy
سال: 2009
ISSN: 1099-4300
DOI: 10.3390/e11040917