[SciPy-user] Iterative proportional fitting

Robert Kern robert.kern@gmail....
Thu Jan 8 17:17:28 CST 2009


On Thu, Jan 8, 2009 at 17:06, Dorian <wizzard028wise@gmail.com> wrote:
> Hi all,
> I have some marginal functions densities and I'm looking to the good way to
> find their join density function.

There are potentially an infinite number of such joint density
functions that have the same marginal densities. Adding some
constraints, like a correlation between two variables, helps, but it's
still an ill-defined problem.

> I would want to know if there is any  package or script in Scipy  for
> iterative proportional fitting (IPF) .
> Or any web link to help  me start.

No, there is nothing in scipy for this. I think IPF applies more to
data than to distributions, per se. Estimating a joint distribution
from marginal distribution is usually called a copula, in my
experience.

http://en.wikipedia.org/wiki/Copula_(statistics)

-- 
Robert Kern

"I have come to believe that the whole world is an enigma, a harmless
enigma that is made terrible by our own mad attempt to interpret it as
though it had an underlying truth."
  -- Umberto Eco


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