On a computationally scalable sparse formulation of the multidimensional and nonstationary maximum entropy principle
DOI10.2140/camcos.2020.15.15zbMath1458.37086arXiv2005.03253OpenAlexW3109270558MaRDI QIDQ2219904
Ganna Marchenko, Patrick Gagliardini, Illia Horenko
Publication date: 21 January 2021
Published in: Communications in Applied Mathematics and Computational Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.03253
Economic time series analysis (91B84) Time series analysis of dynamical systems (37M10) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25)
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