Discrete approximation of multivariate densities with application to Bayesian estimation (Q1064775)

In an earlier paper [ibid. 1, 175-181 (1983; reviewed above)] the first author introduced a method for finding the \(L_ 1\)-optimal discrete approximation to a univariate continuous density. The procedure is extended to higher dimensions. An n-variate density can be written as \[ f(x_ 1,x_ 2,...,x_ n)=f(x_ 1)f(x_ 2| x_ 1)...f(x_ n| x_ 1,...,x_{n-1})\quad. \] The one-dimensional procedure is applied successively to each conditional density. Numerical results for an example from pharmacokinetics are discussed.