Numerical method for estimating multivariate conditional distributions |
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Authors: | Eric A Stützle Tomas Hrycej |
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Institution: | (1) Departement of Information Mining, DaimlerChrysler AG Research & Technology, Ulm, Germany |
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Abstract: | Summary A computational framework for estimation of multivariate conditional distributions is presented. It allows the forecast of
the joint distribution of target variables in dependence on explaining variables. The concept can be applied to general distribution
families such as stable or hyperbolic distributions. The estimation is based on the numerical minimization of the cross entropy,
using the Multi-Level Single-Linkage global optimization method. Nonlinear dependencies of conditional parameters can be modeled
with help of general functional approximators such as multi-layer perceptrons. In applications, the information about a complete
distribution of forecasts can be used to quantify the reliability of the forecast or for decision support. This is illustrated
on a case study concerning the spare parts demand forecast. The improvement of the forecast error due to using non-Gaussian
distributions is presented in another case study concerning the truck sales forecast. |
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Keywords: | Conditional Probability Distributions Neural Networks Global Optimization |
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