Constructive approximations of the $q=1/2$ maximum entropy distribution from redundant and noisy data
L.Rebollo-Neira, A. Plastino

TL;DR
This paper presents a new method for constructing the $q=1/2$ maximum entropy distribution from noisy, redundant data, involving a forward approach for parameter estimation and a backward approach for model reduction.
Contribution
It introduces a generalized forward approach for noisy data and a backward method for reducing distribution parameters, enhancing robustness in maximum entropy modeling.
Findings
Effective handling of noisy data in maximum entropy distribution construction
A combined forward and backward approach improves model accuracy
Method reduces parameters while maintaining distribution fidelity
Abstract
The problem of constructing the non-extensive maximum entropy distributions from redundant and noisy data is considered. A strategy is proposed, which evolves through the following steps: i)independent constraints are first pre-selected by recourse to a data-independent technique to be discussed here. ii)the data are a posteriori used to determine the parameters of the distribution by a previously introduced forward approach. iii) A backward approach is proposed for reducing the parameters of such distribution. The previously introduced forward approach is generalised here in order to make it suitable for dealing with very noisy data.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.
Taxonomy
TopicsStatistical Mechanics and Entropy · Financial Risk and Volatility Modeling · Statistical Methods and Inference
