The Annals of Statistics

Convergence of the Iterative Proportional Fitting Procedure

Ludger Ruschendorf

Full-text: Open access

Abstract

The iterative proportional fitting procedure (IPFP) was introduced in 1940 by Deming and Stephan to estimate cell probabilities in contingency tables subject to certain marginal constraints. Its convergence and statistical properties have been investigated since then by several authors and by several different methods. A natural extension of the IPFP to the case of bivariate densities has been introduced by Ireland and Kullback. It has been conjectured that also in the general case the IPFP converges to the minimum discrimination projection on the class of distributions with given marginals. We verify this conjecture under some regularity conditions.

Article information

Source
Ann. Statist., Volume 23, Number 4 (1995), 1160-1174.

Dates
First available in Project Euclid: 11 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176324703

Digital Object Identifier
doi:10.1214/aos/1176324703

Mathematical Reviews number (MathSciNet)
MR1353500

Zentralblatt MATH identifier
0851.62038

JSTOR
links.jstor.org

Subjects
Primary: 60E05: Distributions: general theory
Secondary: 62B10: Information-theoretic topics [See also 94A17]

Keywords
Iterative proportional fitting $I$-projection distributions with given marginals Kullback-Leibler distance marginal adjustment

Citation

Ruschendorf, Ludger. Convergence of the Iterative Proportional Fitting Procedure. Ann. Statist. 23 (1995), no. 4, 1160--1174. doi:10.1214/aos/1176324703. https://projecteuclid.org/euclid.aos/1176324703


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