On the recovery of joint distributions from limited information. 107:.

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/72542

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/72542

题名:	On the recovery of joint distributions from limited information. 107:.
作者:	劉威漢;Miller, D. J.
贡献者:	淡江大學財務金融學系
日期:	2002-06-01
上传时间:	2011-10-24 10:32:45 (UTC+8)
摘要:	The paper considers the role of entropy and other information theoretic concepts in the description and formation of joint distributions for m random variables. The discussion includes a review of methods for constructing discrete and continuous joint distributions from the component marginal distributions. We then propose a minimum cross-entropy approach that recovers continuous joint distributions from the joint and marginal moments and the marginal densities. The large-sample properties of the associated estimator are outlined, and a simple demonstration problem that highlights the advantages and drawbacks of the proposed method is presented.
關聯:	Journal of Econometrics 107, pp.259-274
DOI:	10.1016/S0304-4076(01)00123-3
显示于类别:	[財務金融學系暨研究所] 期刊論文

文件中的档案:

档案	描述	大小	格式	浏览次数
index.html		0Kb	HTML	106	检视/开启
全文.pdf		225Kb	Adobe PDF	175	检视/开启

在機構典藏中所有的数据项都受到原著作权保护.

TAIR相关文章