Some hot topics of maximum entropy research in economics and statistics
23/05/2017 Tuesday 23rd May 2017, 11:00 (Room P3.10, Mathematics Building)
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Pedro Macedo, CIDMA and Department of Mathematics, University of Aveiro
Maximum entropy is often used for solving illposed problems that occur in diverse areas of science (e.g., physics, informatics, biology, medicine, communication engineering, statistics and economics). The works of Kullback, Leibler, Lindley and Jaynes in the fifties of the last century were fundamental to connect the areas of maximum entropy and information theory with statistical inference. Jaynes states that the maximum entropy principle is a simple and straightforward idea. Indeed, it provides a simple tool to make the best prediction (i.e., the one that is the most strongly indicated) from the available information and it can be seen as an extension of the Bernoulli's principle of insufficient reason. The maximum entropy principle provides an unambiguous solution for illposed problems by choosing the distribution of probabilities that maximizes the Shannon entropy measure. Some recent research in regularization (e.g., ridGME and MERGE estimators), variable selection (e.g., normalized entropy with information from the ridge trace), inhomogeneous largescale data (e.g., normalized entropy as an alternative to maximin aggregation) and stochastic frontier analysis (e.g., generalized maximum entropy and generalized crossentropy with data envelopment analysis as an alternative to maximum likelihood estimation) will be presented, along with several realworld applications in engineering, medicine and economics.
