Estimating univariate distributions via relative entropy minimization: case studies on financial and economic data (Q3560087)
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scientific article; zbMATH DE number 5709679
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| English | Estimating univariate distributions via relative entropy minimization: case studies on financial and economic data |
scientific article; zbMATH DE number 5709679 |
Statements
ESTIMATING UNIVARIATE DISTRIBUTIONS VIA RELATIVE ENTROPY MINIMIZATION: CASE STUDIES ON FINANCIAL AND ECONOMIC DATA (English)
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19 May 2010
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Kullback-Leibler relative entropy
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maximum likelihood
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probability distribution
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fat-tailed
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point mass
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stock return distribution
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stock index return distribution
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financial data
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economic data
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California housing data
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0.7297835946083069
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0.7174204587936401
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0.7173672914505005
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0.7165230512619019
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0.7156684994697571
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