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scientific article; zbMATH DE number 1163777
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scientific article; zbMATH DE number 1163777 |
Statements
14 December 1998
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maximum entropy distribution
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normal score correlations
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0.7885594367980957
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0.7818851470947266
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0.7817879319190979
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0.761761486530304
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It will be shown that the maximum entropy distribution with given marginals and normal score correlations can be simply constructed. Sampling from this distribution is very easy too. In contrast, when the dependence is specified through rank correlations, the solution is much more complicated, and an elaborate procedure is required to sample from an approximation of the maximum entropy distribution. Thus, if the choice of measure of dependence is immaterial in the problem definition, normal score correlations are to be preferred. For the entire collection see [Zbl 0885.00054].
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