Effect of data transformations on predictive risk indicators
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Publication:1930628
DOI10.1007/s11009-011-9258-3MaRDI QIDQ1930628
José M. Angulo, Francisco Javier Alonso, María del Carmen Bueso
Publication date: 11 January 2013
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-011-9258-3
Shannon's entropy; dependence structure; data transformations; risk indicators; predictive information
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
94A17: Measures of information, entropy
Uses Software