Jacobs, Jan P.A.M.; Otter, Pieter W.; Reijer, Ard H.J. den - College of Business and Economics, Australian National … - 2011
This paper employs concepts from information theory to choosing the dimension of a data set. We propose a relative information measure connected to Kullback-Leibler numbers. By ordering the series of the data set according to the measure, we are able to obtain a subset of a data set that is most...
