Konferenční příspěvek

WUPES'09

University of Economics Prague

Praha

2009

978-80-245-1543-4

Doc. RNDr. Martin Janžura, CSc. (ÚTIA - Management Výzkumného centra DAR)

marginal problem, maximal entropy, Gibbs distribution

With the aid of the Maximum Entropy principle, a solution to the marginal problem is obtained in a form of parametric exponential (Gibbs-Markov) distribution. The unknown parameters can be calculated by an optimization procedure that agrees with the maximum likelihood estimate but it is numerically hardly feasible for highly dimensional systems. A numerically easily feasible solution can be obtained by the algebraic Möbius formula. The formula, unfortunately, involves terms that are not directly available but can be approximated. And the main aim of the present paper consists in this approximation.