Mixing Probabilities, Priors and Kernels via Entropy Pooling

We show how to mix machine learning signals such as kernel smoothing and fuzzy memberships via the Entropy Pooling approach by Meucci (2008). We illustrate a case study, where we overlay an exponentially time-decayed prior to a pseudo-Gaussian kernel that emphasizes market scenarios where volatilities and interest rates are similar to today's levels. The code for the case study is available for download

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Year of publication:	2012
Authors:	Meucci, Attilio
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Entropie \| Entropy \| Wahrscheinlichkeitsrechnung \| Probability theory \| Core \| Schätztheorie \| Estimation theory

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Extent:	1 Online-Ressource (12 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: GARP Risk Professional, pp. 32-36, December 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 7, 2011 erstellt
Classification:	C1 - Econometric and Statistical Methods: General ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013113859