Conditional Iterative Proportional Fitting for Gaussian Distributions
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.
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Volume (Year): 65 (1998)
Issue (Month): 2 (May)
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- Arnold, Barry C. & Castillo, Enrique & Sarabia, José María, 1996. "Specification of distributions by combinations of marginal and conditional distributions," Statistics & Probability Letters, Elsevier, vol. 26(2), pages 153-157, February.
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