Estimating univariate distributions via relative entropy minimization: case studies on financial and economic data

DOI10.1142/S0219024910005723zbMATH Open1203.91310OpenAlexW2067546474MaRDI QIDQ3560087FDOQ3560087

Authors: Craig Friedman, Yangyong Zhang, Jinggang Huang 

Publication date: 19 May 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910005723

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zbMATH Keywords

maximum likelihoodfinancial dataprobability distributioneconomic datapoint massfat-tailedKullback-Leibler relative entropyCalifornia housing datastock index return distributionstock return distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70)

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• Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
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Cited In (1)

• Uses of entropy and divergence measures for evaluating econometric approximations and infer\-ence.

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