Journal of Economic Theory and Econometrics: Journal of the Korean Econometric Society
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Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

A New Method for Estimating and Simulating Maximum Entropy Densities

Vol.23, No.4, December , 261–277



  •   (SNU)

  •   (MIT)

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Abstract  

The maximum entropy (maxent) approach provides an attractive and appealing method for obtaining a probability distribution in some limited information environments. The maxent approach, however, is not easy to use for practical application since analytic derivation of a maxent density is usually not feasible. This paper proposes a method of estimating and simulating an maxent density. It is a numerically tractable and stable method that is relatively simple in real computation. The proposed method is capable of handling problems for which existing methods are difficult to apply or are subject to occasional failure. Monte Carlo results confirm that the proposed method can be well applied for cases when existing methods are subject to occasional failure.


Keywords
   Entropy maximization, Cross entropy, Moment conditions, Numerical method

JEL classification codes
   C01, C2
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