Optimal Quantization of the Support of a Continuous Multivariate Distribution based on Mutual Information |
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| Authors: | Bernard Colin François Dubeau Hussein Khreibani Jules de Tibeiro |
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| Institution: | 1. Département de Mathématiques, Faculté des Sciences, Université de Sherbrooke, Sherbrooke, J1K-2R1, Québec, Canada
2. Université de Moncton à Shippagan, New Brunswick, Canada
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| Abstract: | Based on the notion of mutual information between the components of a random vector, we construct, for data reduction reasons, an optimal quantization of the support of its probability measure. More precisely, we propose a simultaneous discretization of the whole set of the components of the random vector which takes into account, as much as possible, the stochastic dependence between them. Examples are presented. |
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