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Millie Yi Mao

University of California



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Aman Ullah



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120 – SPEED: Nonparametric Statistics: Estimation, Testing, and Modeling

Estimation of Regression Function Using Shannon's Entropy

Sponsor: Section on Nonparametric Statistics
Keywords: Shannon's entropy, maximum entropy distributions, regression function, response function

Millie Yi Mao

University of California

Aman Ullah

We introduce an information theoretic approach-Shannon's entropy to specify econometric functions as an alternative to avoid parametric assumptions. We investigate the performances of Shannon's entropy in estimating the regression (conditional mean) and response (derivative) functions. We have demonstrated that they are easy to implement, and are advantageous over parametric models and nonparametric kernel techniques.

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