Essays on Maximum Entropy Principle with Applications to Econometrics and Finance

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Publisher : ProQuest
ISBN 13 : 9780549344216
Total Pages : 179 pages
Book Rating : 4.3/5 (442 download)

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Book Synopsis Essays on Maximum Entropy Principle with Applications to Econometrics and Finance by : Sung Yong Park

Download or read book Essays on Maximum Entropy Principle with Applications to Econometrics and Finance written by Sung Yong Park and published by ProQuest. This book was released on 2007 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies density estimation and portfolio selection problems using the maximum entropy (ME) principle. Since an entropy measure turns out to be a distance measure between two distributions, it can be used to estimate unknown density function. Entropy can be also interpreted as a measure of the degree of diversification and thus provides an useful way to construct optimal portfolio weights. In this dissertation three subjects are studied extensively. First, we propose ME autoregressive conditional heteroskedasticity model with demonstrating how we can extract informative functional from the data in the form of moment function. Second, the portfolio selection problem is considered using ME principle. We propose to use cross entropy measure as the objective function (to minimize) with side conditions coming from the mean and variance-covariance matrix of the resampled asset returns. Finally, using ME principle, we provided characterization of some well-known income distributions and flexible parametric income distributions which satisfy certain stylized facts of personal income data. Empirical results showed that maximum entropy principle is quite useful for analyzing economic and financial data.

Maximum Entropy in Action

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Publisher : Oxford : Clarendon Press ; New York : Oxford University Press
ISBN 13 :
Total Pages : 260 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Maximum Entropy in Action by : Brian Buck

Download or read book Maximum Entropy in Action written by Brian Buck and published by Oxford : Clarendon Press ; New York : Oxford University Press. This book was released on 1991 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of introductory, interdisciplinary articles and lectures covering the fundamentals of the maximum entropy approach, a powerful new technique that provides a much needed extension of the established principles of rational inference in the sciences. Maximum entropy allows the interpretation of incomplete and "noisy" data, providing a description of the underlying physical systems. It has found application in both practical and theoretical studies ranging from image enhancement to nuclear physics, and from statistical mechanics to economics. The work explores these applications with specific problems of data analysis taken from the physical sciences. It will interest all physical scientists who deal with data and its interpretation, including statisticians and statistical physicists.

Maximum-entropy Models in Science and Engineering

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Publisher : John Wiley & Sons
ISBN 13 : 9788122402162
Total Pages : 660 pages
Book Rating : 4.4/5 (21 download)

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Book Synopsis Maximum-entropy Models in Science and Engineering by : Jagat Narain Kapur

Download or read book Maximum-entropy Models in Science and Engineering written by Jagat Narain Kapur and published by John Wiley & Sons. This book was released on 1989 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Is The First Comprehensive Book About Maximum Entropy Principle And Its Applications To A Diversity Of Fields Like Statistical Mechanics, Thermo-Dynamics, Business, Economics, Insurance, Finance, Contingency Tables, Characterisation Of Probability Distributions (Univariate As Well As Multivariate, Discrete As Well As Continuous), Statistical Inference, Non-Linear Spectral Analysis Of Time Series, Pattern Recognition, Marketing And Elections, Operations Research And Reliability Theory, Image Processing, Computerised Tomography, Biology And Medicine. There Are Over 600 Specially Constructed Exercises And Extensive Historical And Bibliographical Notes At The End Of Each Chapter.The Book Should Be Of Interest To All Applied Mathematicians, Physicists, Statisticians, Economists, Engineers Of All Types, Business Scientists, Life Scientists, Medical Scientists, Radiologists And Operations Researchers Who Are Interested In Applying The Powerful Methodology Based On Maximum Entropy Principle In Their Respective Fields.

Applying Maximum Entropy to Econometric Problems

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Publisher : JAI Press Incorporated
ISBN 13 : 9780762301874
Total Pages : 374 pages
Book Rating : 4.3/5 (18 download)

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Book Synopsis Applying Maximum Entropy to Econometric Problems by : R. Carter Hill

Download or read book Applying Maximum Entropy to Econometric Problems written by R. Carter Hill and published by JAI Press Incorporated. This book was released on 1997-07-25 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of Advances in Econometrics looks at applying maximum entropy to econometric problems and consists of two sections: the first section contains papers developing econometric methods based on the entropy principle; an interesting array of applications is presented in the second section of the volume.

Modeling Dependence in Econometrics

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Publisher : Springer Science & Business Media
ISBN 13 : 3319033956
Total Pages : 570 pages
Book Rating : 4.3/5 (19 download)

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Book Synopsis Modeling Dependence in Econometrics by : Van-Nam Huynh

Download or read book Modeling Dependence in Econometrics written by Van-Nam Huynh and published by Springer Science & Business Media. This book was released on 2013-11-18 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.

Entropy Measures, Maximum Entropy Principle and Emerging Applications

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Publisher : Springer
ISBN 13 : 3540362126
Total Pages : 300 pages
Book Rating : 4.5/5 (43 download)

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Book Synopsis Entropy Measures, Maximum Entropy Principle and Emerging Applications by : Karmeshu

Download or read book Entropy Measures, Maximum Entropy Principle and Emerging Applications written by Karmeshu and published by Springer. This book was released on 2012-10-01 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last two decades have witnessed an enormous growth with regard to ap plications of information theoretic framework in areas of physical, biological, engineering and even social sciences. In particular, growth has been spectac ular in the field of information technology,soft computing,nonlinear systems and molecular biology. Claude Shannon in 1948 laid the foundation of the field of information theory in the context of communication theory. It is in deed remarkable that his framework is as relevant today as was when he 1 proposed it. Shannon died on Feb 24, 2001. Arun Netravali observes "As if assuming that inexpensive, high-speed processing would come to pass, Shan non figured out the upper limits on communication rates. First in telephone channels, then in optical communications, and now in wireless, Shannon has had the utmost value in defining the engineering limits we face". Shannon introduced the concept of entropy. The notable feature of the entropy frame work is that it enables quantification of uncertainty present in a system. In many realistic situations one is confronted only with partial or incomplete information in the form of moment, or bounds on these values etc. ; and it is then required to construct a probabilistic model from this partial information. In such situations, the principle of maximum entropy provides a rational ba sis for constructing a probabilistic model. It is thus necessary and important to keep track of advances in the applications of maximum entropy principle to ever expanding areas of knowledge.

The Maximum Entropy Method

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Publisher : Springer Science & Business Media
ISBN 13 : 3642606296
Total Pages : 336 pages
Book Rating : 4.6/5 (426 download)

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Book Synopsis The Maximum Entropy Method by : Nailong Wu

Download or read book The Maximum Entropy Method written by Nailong Wu and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forty years ago, in 1957, the Principle of Maximum Entropy was first intro duced by Jaynes into the field of statistical mechanics. Since that seminal publication, this principle has been adopted in many areas of science and technology beyond its initial application. It is now found in spectral analysis, image restoration and a number of branches ofmathematics and physics, and has become better known as the Maximum Entropy Method (MEM). Today MEM is a powerful means to deal with ill-posed problems, and much research work is devoted to it. My own research in the area ofMEM started in 1980, when I was a grad uate student in the Department of Electrical Engineering at the University of Sydney, Australia. This research work was the basis of my Ph.D. the sis, The Maximum Entropy Method and Its Application in Radio Astronomy, completed in 1985. As well as continuing my research in MEM after graduation, I taught a course of the same name at the Graduate School, Chinese Academy of Sciences, Beijingfrom 1987to 1990. Delivering the course was theimpetus for developing a structured approach to the understanding of MEM and writing hundreds of pages of lecture notes.

The Generalized Maximum Entropy Principle (with Applications)

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Publisher :
ISBN 13 : 9780920574256
Total Pages : 213 pages
Book Rating : 4.5/5 (742 download)

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Book Synopsis The Generalized Maximum Entropy Principle (with Applications) by : Jagat Narain Kapur

Download or read book The Generalized Maximum Entropy Principle (with Applications) written by Jagat Narain Kapur and published by . This book was released on 1987 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Entropy Optimization Principles with Applications

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Publisher :
ISBN 13 :
Total Pages : 440 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Entropy Optimization Principles with Applications by : Jagat Narain Kapur

Download or read book Entropy Optimization Principles with Applications written by Jagat Narain Kapur and published by . This book was released on 1992 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: This senior-level textbook on entropy provides a conceptual framework for the study of probabilistic systems with its elucidation of three key concepts - Shannon's information theory, Jaynes' maximum entropy principle and Kullback's minimum cross-entropy principle.

The Method of Maximum Entropy

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Publisher : World Scientific
ISBN 13 : 9810218125
Total Pages : 161 pages
Book Rating : 4.8/5 (12 download)

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Book Synopsis The Method of Maximum Entropy by : Henryk Gzyl

Download or read book The Method of Maximum Entropy written by Henryk Gzyl and published by World Scientific. This book was released on 1995 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is an outgrowth of a set of lecture notes on the maximum entropy method delivered at the 1st Venezuelan School of Mathematics. This yearly event aims at acquainting graduate students and university teachers with the trends, techniques and open problems of current interest. In this book the author reviews several versions of the maximum entropy method and makes its underlying philosophy clear.

Forecasting with Maximum Entropy Hb

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Publisher : IOP ebooks
ISBN 13 : 9780750339292
Total Pages : 0 pages
Book Rating : 4.3/5 (392 download)

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Book Synopsis Forecasting with Maximum Entropy Hb by : FORT

Download or read book Forecasting with Maximum Entropy Hb written by FORT and published by IOP ebooks. This book was released on 2022-11-30 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book aims at providing a unifying framework, based on Information Entropy and its maximization, to connect the phenomenology of evolutionary biology, community ecology, financial economics, and statistical physics. This more comprehensive view, besides providing further insight into problems, enables problem-solving strategies by applying proven methods in one discipline to formally similar problems in other areas. The book also proposes a forecasting method for important practical problems in these disciplines and is directed to researchers, students and practitioners working on modelling the dynamics of complex systems. The common thread is how the flux of information both controls and serves to predict the dynamics of complex systems. It is shown how maximizing the Shannon information entropy allows one to infer a central object controlling the dynamics of complex systems, such as ecosystems or markets. The resulting models, which are known as pairwise maximum-entropy models, can be used to infer interactions from data in a wide variety of systems. Here, two examples are analysed in detail. The first is an application to conservation ecology, namely the issue of providing early warning indicators of population crashes of species of trees in tropical forests. The second is about forecasting the market values of firms through evolutionary economics. An interesting lesson is that PME modelling often produces accurate predictions despite not incorporating explicit interaction mechanisms. Key features Written to be suitable for a broad spectrum of readers and assumes little mathematical specialism. Includes pedagogical features: Worked examples, case studies and summaries. The interdisciplinary approach builds bridges between disciplines. Oriented to solve practical problems. Includes a combination of analytical derivations and numerical simulations with experiments

Maximum Entropy and Bayesian Methods in Applied Statistics

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Publisher : Cambridge University Press
ISBN 13 : 9780521096034
Total Pages : 0 pages
Book Rating : 4.0/5 (96 download)

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Book Synopsis Maximum Entropy and Bayesian Methods in Applied Statistics by : James H. Justice

Download or read book Maximum Entropy and Bayesian Methods in Applied Statistics written by James H. Justice and published by Cambridge University Press. This book was released on 2009-01-11 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of papers by leading researchers in their respective fields contains contributions showing the use of the maximum entropy method in many of the fields in which it finds application. In the physical, mathematical and biological sciences it is often necessary to make inferences based on insufficient data. The problem of choosing one among the many possible conclusions or models which are compatible with the data may be resolved in a variety of ways. A particularly appealing method is to choose the solution which maximizes entropy in the sense that the conclusion or model honours the observed data but implies no further assumptions not warranted by the data. The maximum entropy principle has been growing in importance and acceptance in many fields, perhaps most notably statistical physics, astronomy, geophysics, signal processing, image analysis and physical chemistry. The papers included in this volume touch on most of the current areas of research activity and application, and will be of interest to research workers in all fields in which the maximum entropy method may be applied.

Non-Extensive Entropy Econometrics for Low Frequency Series

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Publisher : De Gruyter Open
ISBN 13 : 9783110550436
Total Pages : 218 pages
Book Rating : 4.5/5 (54 download)

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Book Synopsis Non-Extensive Entropy Econometrics for Low Frequency Series by : Second Bwanakare

Download or read book Non-Extensive Entropy Econometrics for Low Frequency Series written by Second Bwanakare and published by De Gruyter Open. This book was released on 2017-07-24 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: Non-extensive Entropy Econometrics for Low Frequency Series provides a new and robust power-law-based, non-extensive entropy econometrics approach to the economic modelling of ill-behaved inverse problems. Particular attention is paid to national account-based general equilibrium models known for their relative complexity. In theoretical terms, the approach generalizes Gibbs-Shannon-Golan entropy models, which are useful for describing ergodic phenomena. In essence, this entropy econometrics approach constitutes a junction of two distinct concepts: Jayne's maximum entropy principle and the Bayesian generalized method of moments. Rival econometric techniques are not conceptually adapted to solving complex inverse problems or are seriously limited when it comes to practical implementation. Recent literature showed that amplitude and frequency of macroeconomic fluctuations do not substantially diverge from many other extreme events, natural or human-related, once they are explained in the same time (or space) scale. Non-extensive entropy is a precious device for econometric modelling even in the case of low frequency series, since outputs evolving within the Gaussian attractor correspond to the Tsallis entropy limiting case of Tsallis q-parameter around unity. This book introduces a sub-discipline called Non-extensive Entropy Econometrics or, using a recent expression, Superstar Generalised Econometrics. It demonstrates, using national accounts-based models, that this approach facilitates solving nonlinear, complex inverse problems, previously considered intractable, such as the constant elasticity of substitution class of functions. This new proposed approach could extend the frontier of theoretical and applied econometrics.

Entropy-Based Applications in Economics, Finance, and Management

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Publisher : Mdpi AG
ISBN 13 : 9783036558059
Total Pages : 0 pages
Book Rating : 4.5/5 (58 download)

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Book Synopsis Entropy-Based Applications in Economics, Finance, and Management by : Joanna Olbryś

Download or read book Entropy-Based Applications in Economics, Finance, and Management written by Joanna Olbryś and published by Mdpi AG. This book was released on 2022-11-21 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents selected entropy-based applications in economics, finance and management research. The high-quality studies included in this book propose and discuss new tools and concepts derived from information theory to investigate various aspects of entropy with an assortment of applications. A wide variety of tools based on entropy confirms that entropy is potentially one of the most intricate scientific concepts. Such tools as Shannon entropy, transfer entropy, sample entropy, structural entropy, maximum entropy, fuzzy classification methods, chaos tools, etc., are utilized, and many topics in the fields of economics, finance and management are investigated. Among others, these topics comprise: market clustering, market microstructure, cryptocurrency market, market efficiency and regularity, risk spillovers, credit cycles, financial networks, income inequality, market relationships, causal inference in time series, group decision making, etc.

Handbook of Empirical Economics and Finance

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Publisher : CRC Press
ISBN 13 : 9781420070361
Total Pages : 532 pages
Book Rating : 4.0/5 (73 download)

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Book Synopsis Handbook of Empirical Economics and Finance by : Aman Ullah

Download or read book Handbook of Empirical Economics and Finance written by Aman Ullah and published by CRC Press. This book was released on 2016-04-19 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Empirical Economics and Finance explores the latest developments in the analysis and modeling of economic and financial data. Well-recognized econometric experts discuss the rapidly growing research in economics and finance and offer insight on the future direction of these fields. Focusing on micro models, the first group of chapters describes the statistical issues involved in the analysis of econometric models with cross-sectional data often arising in microeconomics. The book then illustrates time series models that are extensively used in empirical macroeconomics and finance. The last set of chapters explores the types of panel data and spatial models that are becoming increasingly significant in analyzing complex economic behavior and policy evaluations. This handbook brings together both background material and new methodological and applied results that are extremely important to the current and future frontiers in empirical economics and finance. It emphasizes inferential issues that transpire in the analysis of cross-sectional, time series, and panel data-based empirical models in economics, finance, and related disciplines.

Dissertation Abstracts International

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Publisher :
ISBN 13 :
Total Pages : 592 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Dissertation Abstracts International by :

Download or read book Dissertation Abstracts International written by and published by . This book was released on 2008 with total page 592 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Maximum Entropy in Action

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Publisher :
ISBN 13 : 9781383026597
Total Pages : 0 pages
Book Rating : 4.0/5 (265 download)

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Book Synopsis Maximum Entropy in Action by : Brian Buck

Download or read book Maximum Entropy in Action written by Brian Buck and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: An account of the maximum entropy method and the related Bayesian probability theory, which are used to resolve the true structures underlying many types of data. The text aims to explain the role that entropy plays in the assignment of probabilities.