[SciPy-user] Iterative proportional fitting
Thu Jan 8 18:07:38 CST 2009
Thanks for your quick response. You are right , I've tried that, but copula
are limited only
to the case that the marginal distributions are uniform over the interval
zero to one.
As I read from literature IPF method is more general and can be applied
also with marginal
distributions, not limited to the interval zero to one .
2009/1/9 Robert Kern <firstname.lastname@example.org>
> On Thu, Jan 8, 2009 at 17:06, Dorian <email@example.com> wrote:
> > Hi all,
> > I have some marginal functions densities and I'm looking to the good way
> > 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
> 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
> SciPy-user mailing list
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