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Maximum Entropy Distributions with Prescribed Marginals and Normal Score Correlations

In: Distributions with given Marginals and Moment Problems

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  • Michiel J. W. Jansen

    (DLO Agricultural Mathematics Group)

Abstract

In the uncertainty analysis of a deterministic model, one studies the accuracy of model output under given uncertainty about the input. Potential sources of uncertainty are for instance: initial values, boundary conditions, parameter values, exogenous variables. Often, uncertainties are accounted for by randomness of these sources. Thus, the specification of the multivariate probability distribution of the sources constitutes a basic problem of uncertainty analysis. The present paper studies some aspects of the specification problem of continuous multivariate distributions.

Suggested Citation

  • Michiel J. W. Jansen, 1997. "Maximum Entropy Distributions with Prescribed Marginals and Normal Score Correlations," Springer Books, in: Viktor Beneš & Josef Štěpán (ed.), Distributions with given Marginals and Moment Problems, pages 87-92, Springer.
    • Handle: RePEc:spr:sprchp:978-94-011-5532-8_10
    DOI: 10.1007/978-94-011-5532-8_10
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