The conditioning of the maximum entropy covariance matrix and its inverse

DOI10.1016/0167-7152(82)90024-4zbMath0493.62049OpenAlexW2002302172MaRDI QIDQ1168669

Henri Theil, Delores Conway

Publication date: 1982

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(82)90024-4

zbMATH Keywords

conditioningmaximum entropy covariance matrixridge matricesvariance of latent roots

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Multivariate analysis (62H99)

Cites Work

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• Some recent and new results on the maximum entropy distribution
• The Measurement of Consumers' Behaviour

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