Rényi information for ergodic diffusion processes

In this paper we derive explicit formulas of the R\'enyi information, Shannon entropy and Song measure for the invariant density of one dimensional ergodic diffusion processes. In particular, the diffusion models considered include the hyperbolic, the generalized inverse Gaussian, the Pearson, the exponential familiy and a new class of skew-t diffusions.

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Year of publication:	2007-11-12
Authors:	Gregorio, Alessandro De ; Iacus, Stefano
Institutions:	Dipartimento di Economia, Management e Metodi Quantitativi (DEMM), Università degli Studi di Milano
Subject:	Rényi entropy \| Shannon entropy \| Song measure \| ergodic diffusion processes \| invariant law

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Extent:	application/pdf
Series:	UNIMI - Research Papers in Economics, Business, and Statistics.
Type of publication:	Book / Working Paper
Notes:	oai:cdlib1:unimi-1064 The text is part of a series UNIMI - Research Papers in Economics, Business, and Statistics Number unimi-1064
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009324464