A short note on multivariate dependence modeling

0427848 - ÚTIA 2015 RIV CZ eng J - Článek v odborném periodiku
Bína, V. - Jiroušek, Radim
A short note on multivariate dependence modeling.
Kybernetika. Roč. 49, č. 3 (2013), s. 420-432. ISSN 0023-5954
Grant ostatní: GA ČR(CZ) GAP403/12/2175
Program: GA
Institucionální podpora: RVO:67985556
Klíčová slova: multivariate distribution * dependence * copula
Kód oboru RIV: IN - Informatika
Impakt faktor: 0.563, rok: 2013
http://library.utia.cas.cz/separaty/2014/MTR/jirousek-0427848.pdf

In the paper the problem of description of dependent variables is tackled using the well known Iterative Proportional Fitting Procedure. The proposed solution is not an exact mathematical solution of a marginal problem but just its approximation applicable in many practical situations like Monte Carlo sampling. This is why the authors deal not only with the consistent case, when the iterative procedure converges, but also with the inconsistent non-converging case.
Trvalý link: http://hdl.handle.net/11104/0233816