Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series

DOI10.1137/17M1142600zbMath1415.62080OpenAlexW2903776870WikidataQ128729498 ScholiaQ128729498MaRDI QIDQ3122064

Patrick Gagliardini, Ganna Marchenko, Illia Horenko

Publication date: 20 March 2019

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/17m1142600

zbMATH Keywords

time seriesclusteringmaximum entropynonparametric modelnonstationaritynumerical optimizationnonparametric methodsvolatility modelingnonstationary time seriesmaximum entropy probability distribution

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical aspects of information-theoretic topics (62B10)

Related Items (1)

On a computationally scalable sparse formulation of the multidimensional and nonstationary maximum entropy principle

Uses Software

• hmm

Cites Work

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