Entropy-Maximizing and the Iterative Proportional Fitting Procedure

1993 ◽  
Vol 45 (3) ◽  
pp. 317-322 ◽  
Author(s):  
R. J. Johnston ◽  
C. J. Pattie
2015 ◽  
Vol 41 (8) ◽  
pp. 754-772 ◽  
Author(s):  
Dionisis Philippas ◽  
Yiannis Koutelidakis ◽  
Alexandros Leontitsis

Purpose – The purpose of this paper is to analyse the importance of interbank connections and shocks on banks’ capital ratios to financial stability by looking at a network comprising a large number of European and UK banks. Design/methodology/approach – The authors model interbank contagion using insights from the Susceptible Infected Recovered model. The authors construct scale-free networks with preferential attachment and growth, applying simulated interbank data to capture the size and scale of connections in the network. The authors proceed to shock these networks per country and perform Monte Carlo simulations to calculate mean total losses and duration of infection. Finally, the authors examine the effects of contagion in terms of Core Tier 1 Capital Ratios for the affected banking systems. Findings – The authors find that shocks in smaller banking systems may cause smaller overall losses but tend to persist longer, leading to important policy implications for crisis containment. Originality/value – The authors infer the interbank domestic and cross-border exposures of banks employing an iterative proportional fitting procedure, called the RAS algorithm. The authors use an extend sample of 169 European banks, that also captures effects on the UK as well as the Eurozone interbank markets. Finally, the authors provide evidence of the contagion effect on each bank by allowing heterogeneity. The authors compare the bank’s relative financial strength with the contagion effect which is modelled by the number and the volume of bilateral connections.


Metrika ◽  
2012 ◽  
Vol 76 (6) ◽  
pp. 783-798 ◽  
Author(s):  
Christoph Gietl ◽  
Fabian P. Reffel

2019 ◽  
Vol 238 ◽  
pp. 384-400 ◽  
Author(s):  
Young-Hwan Ahn ◽  
Jung-Hun Woo ◽  
Fabian Wagner ◽  
Seung Jick Yoo

2017 ◽  
Vol 33 (4) ◽  
pp. 1021-1050 ◽  
Author(s):  
Thomas Suesse ◽  
Mohammad-Reza Namazi-Rad ◽  
Payam Mokhtarian ◽  
Johan Barthélemy

AbstractEstimating population counts for multidimensional tables based on a representative sample subject to known marginal population counts is not only important in survey sampling but is also an integral part of standard methods for simulating area-specific synthetic populations. In this article several estimation methods are reviewed, with particular focus on the iterative proportional fitting procedure and the maximum likelihood method. The performance of these methods is investigated in a simulation study for multidimensional tables, as previous studies are limited to 2 by 2 tables. The data are generated under random sampling but also under misspecification models, for which sample and target populations differ systematically. The empirical results show that simple adjustments can lead to more efficient estimators, but generally, at the expense of increased bias. The adjustments also generally improve coverage of the confidence intervals. The methods discussed in this article along with standard error estimators, are made freely available in the R packagemipfp. As an illustration, the methods are applied to the 2011 Australian census data available for the Illawarra Region in order to obtain estimates for the desired three-way table for age by sex by family type with known marginal tables for age by sex and for family type.


1987 ◽  
Vol 19 (3) ◽  
pp. 403-407 ◽  
Author(s):  
P B Slater

Two maximum entropy convex decompositions are computed with the use of the iterative proportional fitting procedure. First, a doubly stochastic version of a 5 × 5 British social mobility table is represented as the sum of 120 5 × 5 permutation matrices. The most heavily weighted permutations display a bandwidth form, indicative of relatively strong movements within social classes and between neighboring classes. Then the mobility table itself is expressed as the sum of 6 985 5 × 5 transportation matrices—possessing the same row and column sums as the mobility table. A particular block-diagonal structure is evident in the matrices assigned the greatest weight. The methodology can be applied as well to the representation of other nonnegative matrices in terms of their extreme points, and should be extendable to higher-order mathematical structures—for example, operators and functions.


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