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This paper proposes an entropy-based approach for aggregating information from misspecified asset pricing models. The … a risk function of aggregation across models. The proposed method relaxes the perfect substitutability of the candidate … models, which is implicitly embedded in the linear pooling procedures, and ensures that the aggregation weights are selected …
Persistent link: https://www.econbiz.de/10011771622
-sample information from theory and/or empirical evidence can be introduced in the form of known probabilities by means of the cross-entropy …
Persistent link: https://www.econbiz.de/10011548719
novel "three-way" fixed-effects type of Generalized Maximum Entropy estimator (FE-GME). The importance of fixed effects is …
Persistent link: https://www.econbiz.de/10012608069
a reliability analysis is considered. The Rényi entropy of PSBTPAD is proved and the application of real data is …
Persistent link: https://www.econbiz.de/10012291642
commonly used in the literature. We also show how a formulation of a taste for variety as entropy that had been previously used …
Persistent link: https://www.econbiz.de/10014233387
quantile (QU) function, moment (MOs), incomplete MOs, conditional MOs, MO-generating function, and entropy. Based on simple …
Persistent link: https://www.econbiz.de/10014295425
Persistent link: https://www.econbiz.de/10014307513
This paper presents the estimator of the conditional density function of surrogated scalar response variable given a functional random one. We construct a conditional density function by using the available (true) response data and the surrogate data. Then, we build up some asymptotic properties...
Persistent link: https://www.econbiz.de/10015052186
Persistent link: https://www.econbiz.de/10003718959
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