arXiv Open Access 2020

Minimum Relative Entropy Inference for Normal and Monte Carlo Distributions

Marcello Colasante Attilio Meucci

Lihat Sumber

Abstrak

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.

Topik & Kata Kunci

stat.ML cs.LG

Penulis (2)

Marcello Colasante

Attilio Meucci

Format Sitasi

APA MLA BibTeX

Colasante, M., Meucci, A. (2020). Minimum Relative Entropy Inference for Normal and Monte Carlo Distributions. https://arxiv.org/abs/2007.06461

Akses Cepat

Lihat di Sumber

Informasi Jurnal

Tahun Terbit: 2020
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓