Asymptotic Efficiency of Maximum Entropy Estimates
Academician of the RAS Yu. S. Popkova,b,*
a Federal Research Center “Computer Science and Control”, Russian Academy of Sciences, Moscow, 119333 Russia
b Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, 117997 Russia
Correspondence to: *e-mail: popkov@isa.ru
Received 6 April, 2020
Abstract—The problem of entropy estimation of probability density functions with allowance for real data is posed (the maximum entropy estimation (MEE) problem). Global existence conditions for the implicit dependence of Lagrange multipliers on data collection are obtained. The asymptotic efficiency of maximum entropy estimates is proved.
Keywords: entropy estimation, density functions, Lagrange multipliers, vector field rotation, asymptotic efficiency
DOI: 10.1134/S106456242004016X