PROC ENTROPY: Parameter Covariance For GCE :: SAS/ETS(R) 9.22 User's Guide

The ENTROPY Procedure

Parameter Covariance For GCE

For the cross-entropy problem, the estimate of the asymptotic variance of the signal parameter is given by:

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where

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and $\text{[math]}$ is the Lagrange multiplier associated with the i th row of the $\text{[math]}$ constraint matrix. Also,

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Note: This procedure is experimental.