Minimum Relative Entropy Inference for Normal and Monte Carlo Distributions
Authors: Marcello Colasante, Attilio Meucci
Abstract: 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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