ESTIMATING UNIVARIATE DISTRIBUTIONS VIA RELATIVE ENTROPY MINIMIZATION: CASE STUDIES ON FINANCIAL AND ECONOMIC DATA

DOI10.1142/S0219024910005723zbMath1203.91310OpenAlexW2067546474MaRDI QIDQ3560087

Yangyong Zhang, Jinggang Huang, Craig Friedman

Publication date: 19 May 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910005723

zbMATH Keywords

probability distributionmaximum likelihoodeconomic datafinancial datapoint massfat-tailedKullback-Leibler relative entropyCalifornia housing datastock index return distributionstock return distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistical methods; economic indices and measures (91B82)

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