Hi, I am trying to fit the parameters of a distribution to my data using entropy optimization. For this I am using the first 4 moments of my data and trying to calibrate them to the most suitable distribution by maximizing entropy. Since the moment constraints are nonlinear, I am trying to use package alabama to achieve this. Since negative Entropy is a convex function, I was hopeful of achieving a global minima through this exercise. However, my entropy function converges to different values with different starting points. Am I doing something wrong here? I could provide the code based on your inputs Thanks!
Entropy Optimization to fit distribution parameters through Alabama package
1 message · Vijaya mulakalapalli