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- W3124764868 abstract "We study properties of the block rearrangement algorithm (BRA) in the context of inferring dependence among variables given their marginal distributions and the distribution of their sum. We show that when all distributions are Gaussian the BRA yields solutions that are “close to each other” and exhibit almost maximum entropy, i.e., the inferred dependence is Gaussian with a correlation matrix that has maximum possible determinant. We provide evidence that, when the distributions are no longer Gaussian, the property of maximum determinant continues to hold. The consequences of these findings are that the BRA can be used as a stable algorithm for inferring a dependence that is economically meaningful." @default.
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- W3124764868 date "2017-09-06" @default.
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- W3124764868 title "Rearrangement algorithm and maximum entropy" @default.
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- W3124764868 doi "https://doi.org/10.1007/s10479-017-2612-2" @default.
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