Conditional Iterative Proportional Fitting for Gaussian Distributions

Erhard Cramer

Journal of Multivariate Analysis, 1998, vol. 65, issue 2, 261-276

Abstract: A Gaussian version of the iterative proportional fitting procedure (IFP-P) was applied by Speed and Kiiveri to solve the likelihood equations in graphical Gaussian models. The calculation of the maximum likelihood estimates can be seen as the problem to find a Gaussian distribution with prescribed Gaussian marginals. We extend the Gaussian version of the IPF-P so that additionally given conditionals of Gaussian type are taken into account. The convergence of both proposed procedures, called conditional iterative proportional fitting procedures (CIPF-P), is proved.

Keywords: Conditional iterative proportional fitting; iterative proportional fitting; I-projection; Kullback-Leibler distance; distributions with given marginals; conditional specification; Gaussian distribution (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (2)

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