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

DOI10.1142/S0219024910005723MaRDI QIDQ3560087zbMATH OpenOpenAlexFDO

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

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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Cites work

• scientific article; zbMATH DE number 1082203 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Financial data and the skewed generalized \(t\) distribution
• Finite-dimensional representations of the quadratic algebra: Applications to the exclusion process
• Information Theory and Statistical Mechanics
• Minimum-relative-entropy calibration of asset-pricing models
• Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
• Sparse spatial autoregressions
• Statistical modeling: The two cultures. (With comments and a rejoinder).
• The likelihood of various stock market return distributions. II: Empirical results

Cited in

(1)

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

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