Conditional iterative proportional fitting for Gaussian distributions

JOURNAL OF MULTIVARIATE ANALYSIS

卷:65

Article

Cramer, E

关键词: conditional iterative proportional fitting;    iterative proportional fitting;    I-projection;    Kullback-Leibler distance;    distributions with given marginals;    conditional specification;    Gaussian distribution;   

DOI  :  10.1006/jmva.1998.1739

来源: Elsevier

【 摘 要 】

A Gaussian version of the iterative proportional fitting procedure (IFP-P) was applied by Speed and Kiiveri to solve the likelihood equations in graphical Gaussian models. The calculation of the maximum likelihood estimates can be seen as the problem to find a Gaussian distribution with prescribed Gaussian marginals. We extend the Gaussian version of the IPF-P so that additionally given conditionals of Gaussian type are taken into account. The convergence of both proposed procedures, called conditional iterative proportional fitting procedures (CIPF-P), is proved. (C) 1998 Academic Press.

【 授权许可】

Free