It is shown that, when conditional on a set of given average values, the frequency distribution of a series of independent random variables with a common finite distribution converges in probability to the distribution which has the maximum relative entropy for the given mean values.
Publié le : 1980-02-14
Classification:
Limit theorems,
laws of large numbers,
conditional convergence,
entropy,
maximum entropy principle,
60F05,
60F99,
82A05
@article{1176994830,
author = {Vasicek, Oldrich Alfonso},
title = {A Conditional Law of Large Numbers},
journal = {Ann. Probab.},
volume = {8},
number = {6},
year = {1980},
pages = { 142-147},
language = {en},
url = {http://dml.mathdoc.fr/item/1176994830}
}
Vasicek, Oldrich Alfonso. A Conditional Law of Large Numbers. Ann. Probab., Tome 8 (1980) no. 6, pp. 142-147. http://gdmltest.u-ga.fr/item/1176994830/