[SciPy-user] Iterative proportional fitting
Robert Kern
robert.kern@gmail....
Thu Jan 8 19:33:01 CST 2009
On Thu, Jan 8, 2009 at 19:15, Dorian <wizzard028wise@gmail.com> wrote:
> Could you give me one appropriate example on the way of adding the
> constraints?
>
> As a example In the case of given two marginal Gaussian distributions.
> I have written the corresponding bivariate Gaussian copula density , after
> inverse transformation (using Sklar's theorem) to get the joint density
> function their is no correlation coefficient to infer on it.
> Because the joint density is not necessary a Gaussian density and I stuck
> there .
Hmm, I could be talking out of my butt, here. The last time I looked
at something like this was years ago, and my problem was just
generating random numbers, not trying to derive density functions. I
was looking at the NORTA (NORmal To Anything) method. It might be
possible to derive a method for estimating a joint density using a
similar approach.
What information do you have? Just the marginal densities? Can you
describe your problem at a higher level?
--
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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