Entropy, divergence and distance measures with econometric applications

DOI10.1016/0378-3758(95)00034-8zbMATH Open0840.62007OpenAlexW2159417578MaRDI QIDQ1909375FDOQ1909375

Authors: Aman Ullah 

Publication date: 8 July 1996

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(95)00034-8

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zbMATH Keywords

hypothesis testingestimationconditional entropyentropy measuresdistance measuresdirected divergence measuresentropy based optimizing principlesmaxent estimationnon-directional divergence measures

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to economics (62P20)

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Cited In (49)

• A compendium to information theory in economics and econometrics
• Generalized measures of information for truncated random variables
• Uses of entropy and divergence measures for evaluating econometric approximations and infer\-ence.
• On local divergences between two probability measures
• Agglomerative hierarchical clustering of continuous variables based on mutual information
• Accelerating score-driven time series models
• Relevance measures for subset variable selection in regression problems based on \(k\)-additive mutual information
• Multivariate distribution models with generalized hyperbolic margins
• An \((R',S')\)-norm fuzzy relative information measure and its applications in strategic decision-making
• Nonlinear autoregressive models with optimality properties
• On the mathematics behind the entropy diversification measure in strategic management
• Relevant states and memory in Markov chain bootstrapping and simulation
• Entropy measure of credit risk in highly correlated markets
• Estimation of entropy-type integral functionals
• Aspects concerning entropy and utility
• Entropic value-at-risk: a new coherent risk measure
• \(\beta\)-entropy for Pareto-type distributions and related weighted distributions
• Existence and characterization of conditional density projections
• Some properties of Lin-Wong divergence on the past lifetime data
• Some dominance indices to determine market concentration
• On finite 3-component mixture of exponential distributions: properties and estimation
• Informative input design for kernel-based system identification
• A Procedure for Identification of Principal Variables by Least Generalized Dependence
• Information indices: Unification and applications.
• Characterization properties of the log-normal distribution obtained with the help of divergence measures
• Bayesian likelihood robustness in linear models
• Maximum entropy in applied econometric research
• An efficient integrated nonparametric entropy estimator of serial dependence
• The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.
• Testing goodness-of-fit for Laplace distribution based on maximum entropy
• A novel nonparametric distance estimator for densities with error bounds
• Maximum entropy analysis of consumption-based capital asset pricing model and volatility
• A family of weighted distributions based on the mean inactivity time and cumulative past entropies
• Some results on generalized residual entropy
• Density forecast of financial returns using decomposition and maximum entropy
• Detection of non-linear structure in time series
• Statistical estimation of quadratic Rényi entropy for a stationary \(m\)-dependent sequence
• Kullback-Leibler divergence measure for multivariate skew-normal distributions
• P. C. Mahalanobis in the context of current econometrics research
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• Normalized information-based divergences
• An information-theoretic approach to the effective usage of auxiliary information from survey data
• An \(R\)-squared measure of goodness of fit for some common nonlinear regression models
• On generalized interval entropy
• Optimal Portfolio Diversification Using the Maximum Entropy Principle
• Uniform convergence rate of the seminonparametric density estimator and testing for similarity of two unknown densities
• Statistical descriptions of polydisperse turbulent two-phase flows
• Prediction in Riemannian metrics derived from divergence functions
• Shannon's Entropy and Its Generalisations Towards Statistical Inference in Last Seven Decades

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