Maximum entropy distributions with quantile information

Amirsaman H. Bajgiran

doi:10.1016/j.ejor.2020.07.052

2021-04-01

Amirsaman H. Bajgiran

Mahsa Mardikoraem

Ehsan S. Soofi *

DOI：10.1016/j.ejor.2020.07.052

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摘要

En 中文

Quantiles are available in various problems for developing probability distributions. In some problems quantiles are elicited from experts and used for fitting parametric models, which induce non-elicited information. In some other problems comparisons are made with a quantile of an assumed model which is noncommittal to the quantile information. The maximum entropy (ME) principle provides models that avoid these issues. However, the information theory literature has been mainly concerned about models based on moment information. This paper explores the ME models that are the minimum elaborations of the uniform and moment-based ME models by quantiles. This property provides diagnostics for the utility of elaboration in terms of the information value of each type of information over the other. The ME model with quantiles and moments is represented as the mixture of truncated distributions on consecutive intervals whose shapes and existence are determined by the moments. Elaborations of several ME distributions by quantiles are presented. The ME model based only on quantiles elicited by the fixed interval method possesses a useful property for pooling information elicited from multiple experts. The elaboration of Laplace distribution is an extension of the information theory connection with minimum risk under symmetric loss functions to the asymmetric linear loss. This extension produces a new Asymmetric Laplace distribution. Application examples compare ME priors with a parametric model fitted to elicited quantiles, illustrate measuring uncertainty and disagreement of economic forecasters based on elicited probabilities, and adjust ME models for a fundamental quantile in an inventory management problem. (C) 2020 Elsevier B.V. All rights reserved.

Keyword:

Decision analysis

Information value

Maximum entropy prior

Newsvendor

Survey of Professional Forecasters