Title :
Statistics of maximum entropy IID noise given its cumulants
Author_Institution :
DASA, Ulm, Germany
Abstract :
Given a finite set of moments or cumulants, the problem of finding the probability density function that maximizes the differential entropy is treated. Following the MAXENT approach of E.T. Jaynes (1982), a Lagrange multiplier optimization problem for the probability density of the independent, identically distributed (i.i.d.) noise, which can be solved analytically with the help of gamma and Bessel functions, is arrived at
Keywords :
noise; probability; statistical analysis; Bessel functions; Lagrange multiplier optimization problem; MAXENT approach; cumulants; differential entropy; gamma function; higher order statistics; maximum entropy IID noise; probability density function; Entropy; Gaussian noise; Lagrangian functions; Probability density function; Probability distribution; Random processes; Random variables; Signal to noise ratio; Statistical distributions; Statistics;
Conference_Titel :
Signals, Systems and Computers, 1992. 1992 Conference Record of The Twenty-Sixth Asilomar Conference on
Conference_Location :
Pacific Grove, CA
Print_ISBN :
0-8186-3160-0
DOI :
10.1109/ACSSC.1992.269098
