Supplement 1 to the GUM (GUM-S1) recommends the use of the maximum entropy principle (MaxEnt) in determining the probability distribution of a quantity having specified properties, e.g., specified central moments. When we only know the mean value and the variance of a variable, GUM-S1 prescribes a Gaussian probability distribution for that variable. When further information is available, in the form of a finite interval in which the variable is known to lie, we indicate how the distribution for the variable in this case can be obtained. A Gaussian distribution should only be used in this case when the standard deviation is small compared with the range of variation (the length of the interval). In general, when the interval is finite, the parameters of the distribution should be evaluated numerically, as suggested by Lira (2009 Metrologia 46 L27). Here we note that the knowledge of the range of variation is equivalent to a bias of the distribution towards a flat distribution in that range, and the principle of minimum Kullback entropy (mKE) should be used in the derivation of the probability distribution rather than the MaxEnt, thus leading to an exponential distribution with non-Gaussian features. Furthermore, up to evaluating the distribution negentropy, we quantify the deviation of mKE distributions from MaxEnt ones and, thus, we rigorously justify the use of the GUM-S1 recommendation also if we have further information on the range of variation of a quantity, namely, provided that its standard uncertainty is sufficiently small compared with the range.
About the probability distribution of a quantity with given mean and variance / S. Olivares, M.G.A. Paris. - In: METROLOGIA. - ISSN 0026-1394. - 49:3(2012 Apr 04), pp. L14-L16.
|Titolo:||About the probability distribution of a quantity with given mean and variance|
OLIVARES, STEFANO (Primo)
PARIS, MATTEO (Ultimo)
|Parole Chiave:||maximum entropy principle ; minimum Kullback entropy principle ; GUM-S1|
|Settore Scientifico Disciplinare:||Settore FIS/03 - Fisica della Materia|
Settore MAT/06 - Probabilita' e Statistica Matematica
|Data di pubblicazione:||4-apr-2012|
|Digital Object Identifier (DOI):||http://dx.doi.org/10.1088/0026-1394/49/3/L14|
|Appare nelle tipologie:||01 - Articolo su periodico|