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. Th...
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| Format: | Article |
| Language: | English |
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MDPI AG
2009-11-01
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| Series: | Entropy |
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| Online Access: | http://www.mdpi.com/1099-4300/11/4/917/ |