Non Extensive Entropy Econometrics For Low Frequency Series

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National Accounts-based Inverse Problems

Author : Second Bwanakare
Publisher :
ISBN 13 : 9783110605907
Total Pages : 223 pages
Book Rating : 4.6/5 (59 download)

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Book Synopsis National Accounts-based Inverse Problems by : Second Bwanakare

Download or read book National Accounts-based Inverse Problems written by Second Bwanakare and published by . This book was released on 2018-08-30 with total page 223 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.

Complexity in Economic and Social Systems

Author : Stanisław Drożdż
Publisher : MDPI
ISBN 13 : 3036507949
Total Pages : 534 pages
Book Rating : 4.0/5 (365 download)

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Book Synopsis Complexity in Economic and Social Systems by : Stanisław Drożdż

Download or read book Complexity in Economic and Social Systems written by Stanisław Drożdż and published by MDPI. This book was released on 2021-05-11 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is no term that better describes the essential features of human society than complexity. On various levels, from the decision-making processes of individuals, through to the interactions between individuals leading to the spontaneous formation of groups and social hierarchies, up to the collective, herding processes that reshape whole societies, all these features share the property of irreducibility, i.e., they require a holistic, multi-level approach formed by researchers from different disciplines. This Special Issue aims to collect research studies that, by exploiting the latest advances in physics, economics, complex networks, and data science, make a step towards understanding these economic and social systems. The majority of submissions are devoted to financial market analysis and modeling, including the stock and cryptocurrency markets in the COVID-19 pandemic, systemic risk quantification and control, wealth condensation, the innovation-related performance of companies, and more. Looking more at societies, there are papers that deal with regional development, land speculation, and the-fake news-fighting strategies, the issues which are of central interest in contemporary society. On top of this, one of the contributions proposes a new, improved complexity measure.

Governance And Financial Performance: Current Trends And Perspectives

Author : Constantin Zopounidis
Publisher : World Scientific
ISBN 13 : 9811260516
Total Pages : 340 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Governance And Financial Performance: Current Trends And Perspectives by : Constantin Zopounidis

Download or read book Governance And Financial Performance: Current Trends And Perspectives written by Constantin Zopounidis and published by World Scientific. This book was released on 2023-02-10 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on corporate governance and proposes a novel framework for combining the Corporate Governance Framework (CGF) with current corporate finance issues arising in the Contemporary Business Environment (CBE) and cointegrating them with today's business needs. It consists of a good collection of state-of-the-art approaches that will be useful for new researchers and practitioners working in this field, helping them to quickly grasp the current state of corporate governance and corporate financial performance.Good corporate governance is not only important for companies, but also for the society. To begin with, good corporate governance strengthens the public's faith and trust in corporate governance. Legislative processes were developed to protect the society from known threats and prevent problems from occurring or recurring. Recent corporate scandals shed light on the impact that corporations have on social responsibility. The new focus on the corporate governance framework increases the responsibility and accountability of companies to their stakeholders and provides a solid framework for enhancing corporate performance.

Information and Entropy Econometrics

Author : Amos Golan
Publisher : Now Publishers Inc
ISBN 13 : 160198104X
Total Pages : 167 pages
Book Rating : 4.6/5 (19 download)

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Book Synopsis Information and Entropy Econometrics by : Amos Golan

Download or read book Information and Entropy Econometrics written by Amos Golan and published by Now Publishers Inc. This book was released on 2008 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: Information and Entropy Econometrics - A Review and Synthesis summarizes the basics of information theoretic methods in econometrics and the connecting theme among these methods. The sub-class of methods that treat the observed sample moments as stochastic is discussed in greater details. I Information and Entropy Econometrics - A Review and Synthesis -focuses on inter-connection between information theory, estimation and inference. -provides a detailed survey of information theoretic concepts and quantities used within econometrics and then show how these quantities are used within IEE. -pays special attention for the interpretation of these quantities and for describing the relationships between information theoretic estimators and traditional estimators. Readers need a basic knowledge of econometrics, but do not need prior knowledge of information theory. The survey is self contained and interested readers can replicate all results and examples provided. Whenever necessary the readers are referred to the relevant literature. Information and Entropy Econometrics - A Review and Synthesis will benefit researchers looking for a concise introduction to the basics of IEE and to acquire the basic tools necessary for using and understanding these methods. Applied researchers can use the book to learn improved new methods, and applications for extracting information from noisy and limited data and for learning from these data.

Bayesian Analysis in Statistics and Econometrics

Author : Donald A. Berry
Publisher : John Wiley & Sons
ISBN 13 : 9780471118565
Total Pages : 610 pages
Book Rating : 4.1/5 (185 download)

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Book Synopsis Bayesian Analysis in Statistics and Econometrics by : Donald A. Berry

Download or read book Bayesian Analysis in Statistics and Econometrics written by Donald A. Berry and published by John Wiley & Sons. This book was released on 1996 with total page 610 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a definitive work that captures the current state of knowledge of Bayesian Analysis in Statistics and Econometrics and attempts to move it forward. It covers such topics as foundations, forecasting inferential matters, regression, computation and applications.

Financial Econometrics

Author :
Publisher : Bookboon
ISBN 13 : 8776814270
Total Pages : 119 pages
Book Rating : 4.7/5 (768 download)

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Book Synopsis Financial Econometrics by :

Download or read book Financial Econometrics written by and published by Bookboon. This book was released on 2019 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt:

An Introduction to Statistical Mechanics and Thermodynamics

Author : Robert H. Swendsen
Publisher : Oxford University Press
ISBN 13 : 0199646945
Total Pages : 422 pages
Book Rating : 4.1/5 (996 download)

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Book Synopsis An Introduction to Statistical Mechanics and Thermodynamics by : Robert H. Swendsen

Download or read book An Introduction to Statistical Mechanics and Thermodynamics written by Robert H. Swendsen and published by Oxford University Press. This book was released on 2012-03 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text presents statistical mechanics and thermodynamics as a theoretically integrated field of study. It stresses deep coverage of fundamentals, providing a natural foundation for advanced topics. The large problem sets (with solutions for teachers) include many computational problems to advance student understanding.

High-Frequency Financial Econometrics

Author : Yacine Aït-Sahalia
Publisher : Princeton University Press
ISBN 13 : 0691161437
Total Pages : 683 pages
Book Rating : 4.6/5 (911 download)

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Book Synopsis High-Frequency Financial Econometrics by : Yacine Aït-Sahalia

Download or read book High-Frequency Financial Econometrics written by Yacine Aït-Sahalia and published by Princeton University Press. This book was released on 2014-07-21 with total page 683 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

Applied Econometrics with R

Author : Christian Kleiber
Publisher : Springer Science & Business Media
ISBN 13 : 0387773185
Total Pages : 229 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Applied Econometrics with R by : Christian Kleiber

Download or read book Applied Econometrics with R written by Christian Kleiber and published by Springer Science & Business Media. This book was released on 2008-12-10 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: R is a language and environment for data analysis and graphics. It may be considered an implementation of S, an award-winning language initially - veloped at Bell Laboratories since the late 1970s. The R project was initiated by Robert Gentleman and Ross Ihaka at the University of Auckland, New Zealand, in the early 1990s, and has been developed by an international team since mid-1997. Historically, econometricians have favored other computing environments, some of which have fallen by the wayside, and also a variety of packages with canned routines. We believe that R has great potential in econometrics, both for research and for teaching. There are at least three reasons for this: (1) R is mostly platform independent and runs on Microsoft Windows, the Mac family of operating systems, and various ?avors of Unix/Linux, and also on some more exotic platforms. (2) R is free software that can be downloaded and installed at no cost from a family of mirror sites around the globe, the Comprehensive R Archive Network (CRAN); hence students can easily install it on their own machines. (3) R is open-source software, so that the full source code is available and can be inspected to understand what it really does, learn from it, and modify and extend it. We also like to think that platform independence and the open-source philosophy make R an ideal environment for reproducible econometric research.

Bayesian Spectrum Analysis and Parameter Estimation

Author : G. Larry Bretthorst
Publisher : Springer Science & Business Media
ISBN 13 : 146849399X
Total Pages : 210 pages
Book Rating : 4.4/5 (684 download)

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Book Synopsis Bayesian Spectrum Analysis and Parameter Estimation by : G. Larry Bretthorst

Download or read book Bayesian Spectrum Analysis and Parameter Estimation written by G. Larry Bretthorst and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work is essentially an extensive revision of my Ph.D. dissertation, [1J. It 1S primarily a research document on the application of probability theory to the parameter estimation problem. The people who will be interested in this material are physicists, economists, and engineers who have to deal with data on a daily basis; consequently, we have included a great deal of introductory and tutorial material. Any person with the equivalent of the mathematics background required for the graduate level study of physics should be able to follow the material contained in this book, though not without eIfort. From the time the dissertation was written until now (approximately one year) our understanding of the parameter estimation problem has changed extensively. We have tried to incorporate what we have learned into this book. I am indebted to a number of people who have aided me in preparing this docu ment: Dr. C. Ray Smith, Steve Finney, Juana Sunchez, Matthew Self, and Dr. Pat Gibbons who acted as readers and editors. In addition, I must extend my deepest thanks to Dr. Joseph Ackerman for his support during the time this manuscript was being prepared.

Introduction to Probability

Author : Joseph K. Blitzstein
Publisher : CRC Press
ISBN 13 : 1466575573
Total Pages : 599 pages
Book Rating : 4.4/5 (665 download)

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Book Synopsis Introduction to Probability by : Joseph K. Blitzstein

Download or read book Introduction to Probability written by Joseph K. Blitzstein and published by CRC Press. This book was released on 2014-07-24 with total page 599 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developed from celebrated Harvard statistics lectures, Introduction to Probability provides essential language and tools for understanding statistics, randomness, and uncertainty. The book explores a wide variety of applications and examples, ranging from coincidences and paradoxes to Google PageRank and Markov chain Monte Carlo (MCMC). Additional application areas explored include genetics, medicine, computer science, and information theory. The print book version includes a code that provides free access to an eBook version. The authors present the material in an accessible style and motivate concepts using real-world examples. Throughout, they use stories to uncover connections between the fundamental distributions in statistics and conditioning to reduce complicated problems to manageable pieces. The book includes many intuitive explanations, diagrams, and practice problems. Each chapter ends with a section showing how to perform relevant simulations and calculations in R, a free statistical software environment.

Robustness

Author : Lars Peter Hansen
Publisher : Princeton University Press
ISBN 13 : 0691170975
Total Pages : 453 pages
Book Rating : 4.6/5 (911 download)

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Book Synopsis Robustness by : Lars Peter Hansen

Download or read book Robustness written by Lars Peter Hansen and published by Princeton University Press. This book was released on 2016-06-28 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted? Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics. Technical, rigorous, and self-contained, this book will be useful for macroeconomists who seek to improve the robustness of decision-making processes.

Complex Systems in Finance and Econometrics

Author : Robert A. Meyers
Publisher : Springer Science & Business Media
ISBN 13 : 1441977007
Total Pages : 919 pages
Book Rating : 4.4/5 (419 download)

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Book Synopsis Complex Systems in Finance and Econometrics by : Robert A. Meyers

Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.

Non-Equilibrium Entropy and Irreversibility

Author : C. Lindblad
Publisher : Springer Science & Business Media
ISBN 13 : 9781402003202
Total Pages : 184 pages
Book Rating : 4.0/5 (32 download)

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Book Synopsis Non-Equilibrium Entropy and Irreversibility by : C. Lindblad

Download or read book Non-Equilibrium Entropy and Irreversibility written by C. Lindblad and published by Springer Science & Business Media. This book was released on 2001-11-30 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem of deriving irreversible thermodynamics from the re versible microscopic dynamics has been on the agenda of theoreti cal physics for a century and has produced more papers than can be digested by any single scientist. Why add to this too long list with yet another work? The goal is definitely not to give a gen eral review of previous work in this field. My ambition is rather to present an approach differing in some key aspects from the stan dard treatments, and to develop it as far as possible using rather simple mathematical tools (mainly inequalities of various kinds). However, in the course of this work I have used a large number of results and ideas from the existing literature, and the reference list contains contributions from many different lines of research. As a consequence the reader may find the arguments a bit difficult to follow without some previous exposure to this set of problems.

Maximum-Entropy and Bayesian Methods in Science and Engineering

Author : G. Erickson
Publisher : Springer Science & Business Media
ISBN 13 : 9789027727930
Total Pages : 338 pages
Book Rating : 4.7/5 (279 download)

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Book Synopsis Maximum-Entropy and Bayesian Methods in Science and Engineering by : G. Erickson

Download or read book Maximum-Entropy and Bayesian Methods in Science and Engineering written by G. Erickson and published by Springer Science & Business Media. This book was released on 1988-08-31 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume has its origin in the Fifth, Sixth and Seventh Workshops on and Bayesian Methods in Applied Statistics", held at "Maximum-Entropy the University of Wyoming, August 5-8, 1985, and at Seattle University, August 5-8, 1986, and August 4-7, 1987. It was anticipated that the proceedings of these workshops would be combined, so most of the papers were not collected until after the seventh workshop. Because all of the papers in this volume are on foundations, it is believed that the con tents of this volume will be of lasting interest to the Bayesian community. The workshop was organized to bring together researchers from different fields to critically examine maximum-entropy and Bayesian methods in science and engineering as well as other disciplines. Some of the papers were chosen specifically to kindle interest in new areas that may offer new tools or insight to the reader or to stimulate work on pressing problems that appear to be ideally suited to the maximum-entropy or Bayesian method. A few papers presented at the workshops are not included in these proceedings, but a number of additional papers not presented at the workshop are included. In particular, we are delighted to make available Professor E. T. Jaynes' unpublished Stanford University Microwave Laboratory Report No. 421 "How Does the Brain Do Plausible Reasoning?" (dated August 1957). This is a beautiful, detailed tutorial on the Cox-Polya-Jaynes approach to Bayesian probability theory and the maximum-entropy principle.

Bayesian Data Analysis, Third Edition

Author : Andrew Gelman
Publisher : CRC Press
ISBN 13 : 1439840954
Total Pages : 677 pages
Book Rating : 4.4/5 (398 download)

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Book Synopsis Bayesian Data Analysis, Third Edition by : Andrew Gelman

Download or read book Bayesian Data Analysis, Third Edition written by Andrew Gelman and published by CRC Press. This book was released on 2013-11-01 with total page 677 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now in its third edition, this classic book is widely considered the leading text on Bayesian methods, lauded for its accessible, practical approach to analyzing data and solving research problems. Bayesian Data Analysis, Third Edition continues to take an applied approach to analysis using up-to-date Bayesian methods. The authors—all leaders in the statistics community—introduce basic concepts from a data-analytic perspective before presenting advanced methods. Throughout the text, numerous worked examples drawn from real applications and research emphasize the use of Bayesian inference in practice. New to the Third Edition Four new chapters on nonparametric modeling Coverage of weakly informative priors and boundary-avoiding priors Updated discussion of cross-validation and predictive information criteria Improved convergence monitoring and effective sample size calculations for iterative simulation Presentations of Hamiltonian Monte Carlo, variational Bayes, and expectation propagation New and revised software code The book can be used in three different ways. For undergraduate students, it introduces Bayesian inference starting from first principles. For graduate students, the text presents effective current approaches to Bayesian modeling and computation in statistics and related fields. For researchers, it provides an assortment of Bayesian methods in applied statistics. Additional materials, including data sets used in the examples, solutions to selected exercises, and software instructions, are available on the book’s web page.

Kappa Distributions

Author : George Livadiotis
Publisher : Elsevier
ISBN 13 : 0128046392
Total Pages : 740 pages
Book Rating : 4.1/5 (28 download)

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Book Synopsis Kappa Distributions by : George Livadiotis

Download or read book Kappa Distributions written by George Livadiotis and published by Elsevier. This book was released on 2017-04-19 with total page 740 pages. Available in PDF, EPUB and Kindle. Book excerpt: Kappa Distributions: Theory and Applications in Plasmas presents the theoretical developments of kappa distributions, their applications in plasmas, and how they affect the underpinnings of our understanding of space and plasma physics, astrophysics, and statistical mechanics/thermodynamics. Separated into three major parts, the book covers theoretical methods, analytical methods in plasmas, and applications in space plasmas. The first part of the book focuses on basic aspects of the statistical theory of kappa distributions, beginning with their connection to the solid backgrounds of non-extensive statistical mechanics. The book then moves on to plasma physics, and is devoted to analytical methods related to kappa distributions on various basic plasma topics, spanning linear/nonlinear plasma waves, solitons, shockwaves, and dusty plasmas. The final part of the book deals with applications in space plasmas, focusing on applications of theoretical and analytical developments in space plasmas from the heliosphere and beyond, in other astrophysical plasmas. Kappa Distributions is ideal for space, plasma, and statistical physicists; geophysicists, especially of the upper atmosphere; Earth and planetary scientists; and astrophysicists. - Answers important questions, such as how plasma waves are affected by kappa distributions and how solar wind, magnetospheres, and other geophysical, space, and astrophysical plasmas can be modeled using kappa distributions - Presents the features of kappa distributions in the context of plasmas, including how kappa indices, temperatures, and densities vary among the species populations in different plasmas - Provides readers with the information they need to decide which specific formula of kappa distribution should be used for a certain occasion and system (toolbox)