On the construction of a joint distribution given two discrete conditionals

Indranil Ghosh, Saralees Nadarajah

    Research output: Contribution to journalArticlepeer-review

    Abstract

    Consider a two-dimensional discrete random variable (X, Y ) with possible values 1, 2, . . . , I for X and 1, 2, . . . , J for Y . For specifying the distribution of (X, Y ), suppose both conditional distributions of X given Y and Y given X are specified. In this paper, we address the problem of determining whether a given set of constraints involving marginal and conditional probabilities and expectations of functions are compatible or most nearly compatible. To this end, we incorporate all those information with the Kullback-Leibler (K-L) divergence and power divergence statistics to obtain the most nearly compatible probability distribution when the two conditionals are not compatible, under the discrete set up. Finally, a comparative study is carried out between the K-L divergence and power divergence statistics for some illustrative examples.

    Original languageEnglish
    Pages (from-to)178-204
    Number of pages27
    JournalStudia Scientiarum Mathematicarum Hungarica
    Volume54
    Issue number2
    Early online date19 Aug 2017
    DOIs
    Publication statusPublished - 2017

    Keywords

    • Conditional specification
    • Divergence measures
    • Incompatible conditionals
    • Iterative algorithm
    • Linear programming

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