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Search: subject:"I-divergence"
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I-divergence
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Option pricing theory
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1
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asset distribution
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densities of estimators
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geometry in statistics
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isotonic cone
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log-linear models
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maximum likelihood
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Neri, Cassio
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Juneja, Sandeep
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ECONIS (ZBW)
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Incorporating views on marginal distributions in the calibration of risk models
Dey, Santanu
;
Juneja, Sandeep
;
Murthy, Karthyek R. A.
- In:
Operations research letters
43
(
2015
)
1
,
pp. 46-51
Persistent link: https://www.econbiz.de/10010486359
Saved in:
2
A family of maximum entropy densities matching call option prices
Neri, Cassio
;
Schneider, Lorenz
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 548-577
Persistent link: https://www.econbiz.de/10010235560
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3
Accumulation points of the iterative proportional fitting procedure
Gietl, Christoph
;
Reffel, Fabian
- In:
Metrika
76
(
2013
)
6
,
pp. 783-798
’s (Stat Decis Suppl Issue 1:205–237, <CitationRef CitationID="CR7">1984</CitationRef>) results on the interplay of the
I-divergence
…
Persistent link: https://www.econbiz.de/10010995002
Saved in:
4
Maximum entropy distributions inferred from option portfolios on an asset
Neri, Cassio
;
Schneider, Lorenz
- In:
Finance and Stochastics
16
(
2012
)
2
,
pp. 293-318
Persistent link: https://www.econbiz.de/10010847052
Saved in:
5
I-projection onto isotonic cones and its applications to maximum likelihood estimation for log-linear models
Gao, Wei
;
Shi, Ning-Zhong
- In:
Annals of the Institute of Statistical Mathematics
55
(
2003
)
2
,
pp. 251-263
Persistent link: https://www.econbiz.de/10005169153
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6
The density of the parameter estimators when the observations are distributed exponentially
Pázman, Andrej
- In:
Metrika
44
(
1996
)
1
,
pp. 9-26
Persistent link: https://www.econbiz.de/10005756393
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