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Probability Distributions with Given Marginals and Given Correlation That HaveMaximal Entropy

机译：具有给定边界的概率分布和给定的具有最大熵的相关性

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摘要

For two random variables the joint distribution with maximal entropy given themarginal distributions and the (rank) correlation between the random variables is studied. This distribution is given by the solution of a non-linear system of equations. A recurrence relation for the coefficients of the Taylor series expansion of this solution is derived. An algorithm to solve the non-linear system of equations numerically for the computation of a discretized version of the distribution is given. (Copyright (c) 1993 by Faculty of Technical Mathematics and Informatics, Delft, The Netherlands.)

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作者
Meeuwissen, A. M. H.; Bedford, T.;
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年度 1993
页码 p.1-35
总页数 35
原文格式 PDF
正文语种 eng
中图分类工业技术;
关键词
Multivariate statistical analysis; Probability distribution functions; Entropy; Monte Carlo method; Simulation; Statistical correlation; Taylor series; Algorithms; Optimization; Series expansion;

机译：多元统计分析;概率分布函数;熵;蒙特卡罗方法;模拟;统计相关;泰勒级数;算法;优化;级数展开;

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Probability Distributions with Given Marginals and Given Correlation That HaveMaximal Entropy

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