Activity Number:
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67
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Type:
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Topic Contributed
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Date/Time:
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Monday, August 12, 2002 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Physical & Engineering Sciences*
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Abstract - #300816 |
Title:
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Maximum Entropy, L-Moments, and Order Statistics
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Author(s):
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Jonathan Hosking*+
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Affiliation(s):
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IBM Research Division
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Address:
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P.O. Box 218, Yorktown Heights, New York, 10598, U.S.A.
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Keywords:
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density quantile function ; order statistics ; entropy ; L-moments, ; logistic distribution
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Abstract:
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We find the distribution that has maximum entropy conditional on having specified values of its first r L-moments. This condition is equivalent to specifying the expected values of the order statistics of a sample of size r. We show that the maximum-entropy distribution has a density quantile function, the reciprocal of the derivative of the quantile function, that is a polynomial of degree r; the quantile function of the distribution can then be found by integration. This class of maximum-entropy distributions includes the uniform, exponential, and logistic, and two new generalizations of the logistic distribution that may be useful for modeling data.
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- Authors who are presenting talks have a * after their name.
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