Maximum Entropy Distribution of Order Statistics with given Marginals
نویسنده
چکیده
We consider distributions of ordered random vectors with given one-dimensional marginal distributions. We give an elementary necessary and sufficient condition for the existence of such a distribution with finite entropy. In this case, we give explicitly the density of the unique distribution which achieves the maximal entropy and compute the value of its entropy. This density is the unique one which has a product form on its support and the given one-dimensional marginals. The proof relies on the study of copulas with given one-dimensional marginal distributions for its order statistics.
منابع مشابه
Determination of Maximum Bayesian Entropy Probability Distribution
In this paper, we consider the determination methods of maximum entropy multivariate distributions with given prior under the constraints, that the marginal distributions or the marginals and covariance matrix are prescribed. Next, some numerical solutions are considered for the cases of unavailable closed form of solutions. Finally, these methods are illustrated via some numerical examples.
متن کاملCopula–entropy theory for multivariate stochastic modeling in water engineering
The copula–entropy theory combines the entropy theory and the copula theory. The entropy theory has been extensively applied to derive the most probable univariate distribution subject to specified constraints by applying the principle of maximum entropy. With the flexibility to model nonlinear dependence structure, parametric copulas (e.g., Archimedean, extreme value, meta-elliptical, etc.) ha...
متن کاملMaximum-entropy distributions of correlated variables with prespecified marginals.
The problem of determining the joint probability distributions for correlated random variables with prespecified marginals is considered. When the joint distribution satisfying all the required conditions is not unique, the "most unbiased" choice corresponds to the distribution of maximum entropy. The calculation of the maximum-entropy distribution requires the solution of rather complicated no...
متن کاملSHANNON ENTROPY IN ORDER STATISTICS AND THEIR CONCOMITANS FROM BIVARIATE NORMAL DISTRIBUTION
In this paper, we derive rst some results on the Shannon entropyin order statistics and their concomitants arising from a sequence of f(Xi; Yi): i = 1; 2; :::g independent and identically distributed (iid) random variablesfrom the bivariate normal distribution and extend our results to a collectionC(X; Y ) = f(Xr1:n; Y[r1:n]); (Xr2:n; Y[r2:n]); :::; (Xrk:n; Y[rk:n])g of order sta-tistics and th...
متن کاملDetermination of Maximum Entropy Multivariate Probability Distribution under some Constraints
In this paper, the methods of obtaining maximum entropy bivariate distributions under the constraints, that one of the marginal distributions , both of marginals, or the marginals and correlation between variables are prescribed, are extended for multivariate cases. Then, they are illustrated via some numerical examples.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2016