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December, 1991 Why Least Squares and Maximum Entropy? An Axiomatic Approach to Inference for Linear Inverse Problems
Imre Csiszar
Ann. Statist. 19(4): 2032-2066 (December, 1991). DOI: 10.1214/aos/1176348385

Abstract

An attempt is made to determine the logically consistent rules for selecting a vector from any feasible set defined by linear constraints, when either all $n$-vectors or those with positive components or the probability vectors are permissible. Some basic postulates are satisfied if and only if the selection rule is to minimize a certain function which, if a "prior guess" is available, is a measure of distance from the prior guess. Two further natural postulates restrict the permissible distances to the author's $f$-divergences and Bregman's divergences, respectively. As corollaries, axiomatic characterizations of the methods of least squares and minimum discrimination information are arrived at. Alternatively, the latter are also characterized by a postulate of composition consistency. As a special case, a derivation of the method of maximum entropy from a small set of natural axioms is obtained.

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Imre Csiszar. "Why Least Squares and Maximum Entropy? An Axiomatic Approach to Inference for Linear Inverse Problems." Ann. Statist. 19 (4) 2032 - 2066, December, 1991. https://doi.org/10.1214/aos/1176348385

Information

Published: December, 1991
First available in Project Euclid: 12 April 2007

zbMATH: 0753.62003
MathSciNet: MR1135163
Digital Object Identifier: 10.1214/aos/1176348385

Subjects:
Primary: 62A99
Secondary: 68T01, 92C55, 94A17

Rights: Copyright © 1991 Institute of Mathematical Statistics

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Vol.19 • No. 4 • December, 1991
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