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August, 1995 Convergence of the Iterative Proportional Fitting Procedure
Ludger Ruschendorf
Ann. Statist. 23(4): 1160-1174 (August, 1995). DOI: 10.1214/aos/1176324703


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.


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Ludger Ruschendorf. "Convergence of the Iterative Proportional Fitting Procedure." Ann. Statist. 23 (4) 1160 - 1174, August, 1995.


Published: August, 1995
First available in Project Euclid: 11 April 2007

zbMATH: 0851.62038
MathSciNet: MR1353500
Digital Object Identifier: 10.1214/aos/1176324703

Primary: 60E05
Secondary: 62B10

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

Rights: Copyright © 1995 Institute of Mathematical Statistics


Vol.23 • No. 4 • August, 1995
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