{"title":"正态分布和蒙特卡罗分布的最小相对熵推断","authors":"Marcello Colasante, A. Meucci","doi":"10.2139/ssrn.3479693","DOIUrl":null,"url":null,"abstract":"We represent affine sub-manifolds of exponential family distributions as minimum relative entropy sub-manifolds. With such representation we derive analytical formulas for the inference from partial information on expectations and covariances of multivariate normal distributions; and we improve the numerical implementation via Monte Carlo simulations for the inference from partial information of generalized expectation type.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"3 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2020-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Minimum Relative Entropy Inference for Normal and Monte Carlo Distributions\",\"authors\":\"Marcello Colasante, A. Meucci\",\"doi\":\"10.2139/ssrn.3479693\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We represent affine sub-manifolds of exponential family distributions as minimum relative entropy sub-manifolds. With such representation we derive analytical formulas for the inference from partial information on expectations and covariances of multivariate normal distributions; and we improve the numerical implementation via Monte Carlo simulations for the inference from partial information of generalized expectation type.\",\"PeriodicalId\":11465,\"journal\":{\"name\":\"Econometrics: Econometric & Statistical Methods - General eJournal\",\"volume\":\"3 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-02-07\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometrics: Econometric & Statistical Methods - General eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3479693\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometrics: Econometric & Statistical Methods - General eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3479693","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Minimum Relative Entropy Inference for Normal and Monte Carlo Distributions
We represent affine sub-manifolds of exponential family distributions as minimum relative entropy sub-manifolds. With such representation we derive analytical formulas for the inference from partial information on expectations and covariances of multivariate normal distributions; and we improve the numerical implementation via Monte Carlo simulations for the inference from partial information of generalized expectation type.