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A short note on multivariate dependence modeling

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    0427848 - ÚTIA 2015 RIV CZ eng J - Journal Article
    Bína, V. - Jiroušek, Radim
    A short note on multivariate dependence modeling.
    Kybernetika. Roč. 49, č. 3 (2013), s. 420-432. ISSN 0023-5954
    Grant - others: GA ČR(CZ) GAP403/12/2175
    Program: GA
    Institutional support: RVO:67985556
    Keywords : multivariate distribution * dependence * copula
    Subject RIV: IN - Informatics, Computer Science
    Impact factor: 0.563, year: 2013

    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.
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