Distributions with Maximum Entropy Subject to Constraints on Their L-moments or Expected Order Statistics

We find the distribution that has maximum entropy conditional on having specified values of its first r L-moments. This condition is equivalent to specifying the expected values of the order statistics of a sample of size r. The maximum-entropy distribution has a density-quantile function the reciprocal of the derivative of the quantile function, that is a polynomial of degree r; the quantile function of the distribution can then be found by integration. This class of maximum-entropy distributions includes the uniform, exponential and logistic, and two new generalizations of the logistic distribution. It provides a new method of nonparametric fitting of a distribution to a data sample. We also derive maximum-entropy distributions subject to constraints on expected values of linear combinations of order statistics.

By: J. R. M. Hosking

Published in: RC22960 in 2003


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