DocumentCode
1584530
Title
Statistics of maximum entropy IID noise given its cumulants
Author
Feyh, German
Author_Institution
DASA, Ulm, Germany
fYear
1992
Firstpage
736
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Signals, Systems and Computers, 1992. 1992 Conference Record of The Twenty-Sixth Asilomar Conference on
Conference_Location
Pacific Grove, CA
ISSN
1058-6393
Print_ISBN
0-8186-3160-0
Type
conf
DOI
10.1109/ACSSC.1992.269098
Filename
269098
Link To Document