Ormoneit, D.; White, H. - In: Econometric Reviews 18 (1999) 2, pp. 127-140
We describe an algorithm to efficiently compute maximum entropy densities, i.e. densities maximizing the Shannon entropy - [image omitted] under a set of constraints [image omitted] . Our method is based on an algorithm by Zellner and Highfield, which has been found not to converge under a...