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Distributions most nearly compatible with given families of conditional distributions. (English) Zbl 0955.62053

Summary: Consider a discrete bivariate random variable \((X,Y)\) with possible values \(1,2,\dots,I\) for \(X\) and \(1,2,\dots,J\) for \(Y\). Suppose that putative families of conditional distributions, for \(X\) given values of \(Y\) and of \(Y\) given values of \(X\), are available. After reviewing conditions for compatibility of such conditional specifications of the distribution of \((X,Y)\), attention is focussed on the incompatible case. The Kullback-Leibler information function is shown to provide a convenient measure of inconsistency. Using it, algorithms are provided for computing the joint distribution for \((X,Y)\) that is least discrepant from the given inconsistent conditional specifications. Other discrepancy measures are briefly discussed.

MSC:

62H05 Characterization and structure theory for multivariate probability distributions; copulas
Full Text: DOI

References:

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