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arXiv · 2007.06461

Minimum Relative Entropy Inference for Normal and Monte Carlo Distributions

Marcello Colasante·Attilio Meucci
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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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Marcello Colasante, Attilio Meucci. 2020-07-13. Minimum Relative Entropy Inference for Normal and Monte Carlo Distributions. https://arxiv.org/abs/2007.06461

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