Search Results - subject:"Kullback–Leibler divergence"

A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models

Scott, Alexandre; Metzler, Adam - In: Insurance / Mathematics & economics 64 (2015), pp. 279-293

Persistent link: https://www.econbiz.de/10011398073

How much do cartel overcharge?

Boyer, Marcel; Kotchoni, Rachidi - In: Review of industrial organization : RIO 47 (2015) 2, pp. 119-153

Persistent link: https://www.econbiz.de/10011350007

Covariance structure regularization via entropy loss function

Lin, Lijing; Higham, Nicholas J.; Pan, Jianxin - In: Computational Statistics & Data Analysis 72 (2014) C, pp. 315-327

The need to estimate structured covariance matrices arises in a variety of applications and the problem is widely studied in statistics. A new method is proposed for regularizing the covariance structure of a given covariance matrix whose underlying structure has been blurred by random noise,...

Persistent link: https://www.econbiz.de/10010730224

Asymptotic form of the Kullback–Leibler divergence for multivariate asymmetric heavy-tailed distributions

Contreras-Reyes, Javier E. - In: Physica A: Statistical Mechanics and its Applications 395 (2014) C, pp. 200-208

An asymptotic expression for the Kullback–Leibler (KL) divergence measure of multivariate skew-t distributions (MST) is derived. This novel class of flexible family distributions incorporates a shape and degree of freedom parameters, in order to manipulate the skewness and heavy-tail presence...

Persistent link: https://www.econbiz.de/10010874027

An unbiased model comparison test using cross-validation

Desmarais, Bruce; Harden, Jeffrey - In: Quality & Quantity: International Journal of Methodology 48 (2014) 4, pp. 2155-2173

Kullback–Leibler Divergence (KLD) of the two models from the true model that generated the data. Here we show that both of …

Persistent link: https://www.econbiz.de/10010993080

On the zero-modified poisson model: Bayesian analysis and posterior divergence measure

Conceição, Katiane; Andrade, Marinho; Louzada, Francisco - In: Computational Statistics 29 (2014) 5, pp. 959-980

use of the Kullback–Leibler divergence measure to evaluate this loss. The proposed methodology was illustrated in … simulated datasets, whose results were able to evaluate the losses and establish its relationship with the Kullback–Leibler … divergence measure. Moreover, we exemplify the use of the methodology by considering two real datasets. Copyright Springer …

Persistent link: https://www.econbiz.de/10010949804

CALIBRATION OF THE UNI-VARIATE COX–INGERSOLL–ROSS MODEL AND PARAMETERS SELECTION THROUGH THE KULLBACK–LEIBLER DIVERGENCE

DANG-NGUYEN, STEPHANE; CAILLEC, JEAN-MARC LE; HILLION, ALAIN - In: International Journal of Theoretical and Applied … 17 (2014) 06, pp. 1450038-1

likelihood and two additional criteria based on the Kullback–Leibler divergence in order to find initial values in a grid search …

Persistent link: https://www.econbiz.de/10010933655

Sensitivity to hyperprior parameters in Gaussian Bayesian networks

Gómez-Villegas, M.A.; Main, P.; Navarro, H.; Susi, R. - In: Journal of Multivariate Analysis 124 (2014) C, pp. 214-225

this perspective and using Kullback–Leibler divergence to measure prior and posterior deviations, a local sensitivity …

Persistent link: https://www.econbiz.de/10011042078

Calibration of the uni-variate Cox-Ingersoll-Ross model and parameters selection through the Kullback-Leibler divergence

Dang-Nguyen, Stephane; Le Caillec, Jean-Marc; Hillion, Alain - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-22

Persistent link: https://www.econbiz.de/10010438521

Global Convergence of the EM Algorithm for Unconstrained Latent Variable Models with Categorical Indicators

Weissman, Alexander - In: Psychometrika 78 (2013) 1, pp. 134-153

algorithm as alternating minimization of the Kullback–Leibler divergence between two convex sets. It is shown that these …

Persistent link: https://www.econbiz.de/10010848139