摘要翻譯:
研究了具有預先規(guī)定邊際的相關隨機變量的聯(lián)合概率分布的確定問題。當滿足所有要求條件的聯(lián)合分布不唯一時,“最無偏”選擇對應于最大熵分布。最大熵分布的計算需要求解相當復雜的非線性耦合積分方程,對于高斯邊值問題,得到了精確解;否則,如果存在邊緣矩,解可以表示為圍繞邊緣乘積的擾動。
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英文標題:
《Maximum Entropy distributions of correlated variables with prespecified
marginals》
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作者:
Hern\'an Larralde
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最新提交年份:
2012
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分類信息:
一級分類:Physics 物理學
二級分類:Statistical Mechanics 統(tǒng)計力學
分類描述:Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相變,熱力學,場論,非平衡現(xiàn)象,重整化群和標度,可積模型,湍流
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一級分類:Quantitative Finance 數(shù)量金融學
二級分類:General Finance 一般財務
分類描述:Development of general quantitative methodologies with applications in finance
通用定量方法的發(fā)展及其在金融中的應用
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一級分類:Statistics 統(tǒng)計學
二級分類:Methodology 方法論
分類描述:Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
設計,調(diào)查,模型選擇,多重檢驗,多元方法,信號和圖像處理,時間序列,平滑,空間統(tǒng)計,生存分析,非參數(shù)和半?yún)?shù)方法
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英文摘要:
The problem of determining the joint probability distributions for correlated random variables with pre-specified marginals is considered. When the joint distribution satisfying all the required conditions is not unique, the "most unbiased" choice corresponds to the distribution of maximum entropy. The calculation of the maximum entropy distribution requires the solution of rather complicated nonlinear coupled integral equations, exact solutions to which are obtained for the case of Gaussian marginals; otherwise, the solution can be expressed as a perturbation around the product of the marginals if the marginal moments exist.
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PDF鏈接:
https://arxiv.org/pdf/1212.0440