Under mean and covariance constraints, every monotone power-type entropy picks the same q-Gaussian or Student density; the q-Gaussian's support radius can be inverted to calibrate the deformation parameter from a prescribed Mahalanobis ellipsoid.
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Projective Maximum Entropy: Universality and Acceptance-Region Calibration
Under mean and covariance constraints, every monotone power-type entropy picks the same q-Gaussian or Student density; the q-Gaussian's support radius can be inverted to calibrate the deformation parameter from a prescribed Mahalanobis ellipsoid.