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An information-theoretical analysis of budget-constrained nonpoint source pollution control
Kaplan, Jonathan D.; Howitt, Richard E.; Farzin, Y. Hossein - 2001
learning. To overcome the inherent ill-posed statistical problem in NPS pollution data the sequential entropy filter is applied …
Persistent link: https://www.econbiz.de/10011608793
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Growth of strategy sets, entropy and nonstationary bounded recall
Neyman, Abraham; Okada, Daijiro - 2005
This paper initiates the study of long term interactions where players' bounded rationality varies over time. Time dependent bounded rationality is reflected in part in the number $\psi(t)$ of distinct strategies in the first $t$-stages. We examine how the growth rate of $\psi_i(t)$ affects...
Persistent link: https://www.econbiz.de/10010266360
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Using transfer entropy to measure information flows between financial markets
Dimpfl, Thomas; Peter, Franziska J. - 2012
We use transfer entropy to quantify information flows between financial markets and propose a suitable bootstrap … procedure for statistical inference. Transfer entropy is a model-free measure designed as the Kullback-Leibler distance of …
Persistent link: https://www.econbiz.de/10010318778
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Term structures of asset prices and returns
Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016
We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...
Persistent link: https://www.econbiz.de/10011538004
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Probabilistic Bounded Relative Error Property for Learning Rare Event Simulation Techniques
Ridder, Ad; Tuffin, Bruno - 2012
In rare event simulation, we look for estimators such that the relative accuracy of the output is ''controlled'' when the rarity is getting more and more critical. Different robustness properties have been defined in the literature, that an estimator is expected to satisfy. Though, those...
Persistent link: https://www.econbiz.de/10010326256
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A Statistical Equilibrium Model of Competitive Firms
Irle, Albrecht; Milaković, Mishael; Alfarano, Simone; … - 2008
We argue that the complex interactions of competitive heterogeneous firms lead to a statistical equilibrium distribution of firms? profit rates, which turns out to be an exponential power (or Subbotin) distribution. Moreover, we construct a diffusion process that has the Subbotin distribution as...
Persistent link: https://www.econbiz.de/10010296303
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Modeling Maximum Entropy and Mean-Field Interaction in Macroeconomics
Di Guilmi, Corrado; Gallegati, Mauro; Landini, Simone - 2008
in this way the evolution of the system. The model is analytically solved by means of maximum entropy maximization and …
Persistent link: https://www.econbiz.de/10010298572
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Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - 2012
parameterization and scaling, which are key features of GAS models compared to other observation driven models. The Dudley entropy …
Persistent link: https://www.econbiz.de/10010326396
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Non-Bayesian testing of a stochastic prediction
Dekel, Eddie; Feinberg, Yossi - 2005
We propose a method to test a prediction of the distribution of a stochastic process. In a non-Bayesian non-parametric setting, a predicted distribution is tested using a realization of the stochastic process. A test associates a set of realizations for each predicted distribution, on which the...
Persistent link: https://www.econbiz.de/10010272320
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A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
sets a series of non-parametric based tests utilising entropy based metrics. These suggest that the PDFs and CDFs of these … two return distributions change shape in various subsample periods. The entropy and MI statistics suggest that the degree … most recent period from 2011 to 2012. The entropy based non-parametric tests of the equivalence of the two distributions …
Persistent link: https://www.econbiz.de/10010326508