On regularization of generalized maximum entropy for linear models

Abstract

Motivated by the advances in the estimation of parameters in linear models by regularization methods such as Ridge and Lasso regularizations, we investigate regularization of Generalized Maximum Entropy, which is an alternative estimation method in linear models. Our simulations confirm the better performance of the regularized Generalized Maximum Entropy estimation method, which could stimulate further theoretical research. An application of the new estimation method is illustrated with data from Thailand concerning the effect of education on economic growth.