Minimum Relative Entropy Inference for Normal and Monte Carlo Distributions

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

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Year of publication:	2020
Authors:	Colasante, Marcello
Other Persons:	Meucci, Attilio (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Entropie \| Entropy \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Statistische Verteilung \| Statistical distribution \| Schätztheorie \| Estimation theory \| Induktive Statistik \| Statistical inference \| Simulation

Extent:	1 Online-Ressource (23 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 7, 2020 erstellt
Other identifiers:	10.2139/ssrn.3479693 [DOI]
Classification:	C1 - Econometric and Statistical Methods: General ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012847009