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  • Search: subject:"Kullback–Leibler divergence"
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Year of publication
Subject
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Kullback-Leibler divergence 69 Theorie 34 Theory 32 Kullback–Leibler divergence 26 Statistische Verteilung 14 Statistical distribution 12 ARCH-Modell 10 Entropy 10 Entropie 9 Estimation theory 9 Schätztheorie 9 ARCH model 8 Kullback-Leibler Divergence 8 mixture of Student-t distributions 8 Expectation Maximization 7 Metropolis-Hastings algorithm 7 Risikomaß 7 Time series analysis 7 Zeitreihenanalyse 7 Algorithmus 6 Bayesian inference 6 Estimation 6 Prognoseverfahren 6 Risk measure 6 Schätzung 6 importance sampling 6 Forecasting model 5 Importance sampling 5 Portfolio selection 5 Portfolio-Management 5 Relative entropy 5 relative entropy 5 Algorithm 4 Bayes-Statistik 4 Blackwell ordering 4 Capital income 4 DCC GARCH 4 Kapitaleinkommen 4 Risiko 4 Risk 4
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Online availability
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Undetermined 57 Free 47 CC license 2
Type of publication
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Article 72 Book / Working Paper 41 Other 1
Type of publication (narrower categories)
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Working Paper 33 Article in journal 31 Aufsatz in Zeitschrift 31 Arbeitspapier 20 Graue Literatur 20 Non-commercial literature 20 Article 2
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Language
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English 68 Undetermined 46
Author
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Hoogerheide, Lennart 9 Opschoor, Anne 9 Dijk, Herman K. van 7 Blasques, Francisco 4 Cabrales, Antonio 4 Gossner, Olivier 4 Lucas, André 4 Serrano, Roberto 4 Belomestny, Denis 3 Koopman, Siem Jan 3 Mrázová, Monika 3 Neary, J. Peter 3 Parenti, Mathieu 3 Parra-Alvarez, Juan Carlos 3 Polanski, Arnold 3 Posch, Olaf 3 Stoja, Evarist 3 Wang, Mu-Chun 3 Artemova, Mariia 2 Benati, Luca 2 Beutner, Eric A. 2 Blasques, Francisco F. 2 Dudoit, Sandrine 2 Gorgi, Paolo 2 Härdle, Wolfgang 2 Keles, Sunduz 2 Komaki, Fumiyasu 2 Koopman, Siem Jan S.J. 2 Laan, Mark van der 2 Lampert, Timm 2 Li, Yong 2 Lin, Yicong 2 Lubik, Thomas A. 2 Ma, Shujie 2 Millossovich, Pietro 2 Motorin, Vladimir 2 Müller, Karsten 2 Penev, Spiridon 2 Shevchenko, Pavel V. 2 Sibbertsen, Philipp 2
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Institution
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Tinbergen Instituut 2 Departamento de Economía, Universidad Carlos III de Madrid 1 Dipartimento di Economia, Università degli Studi di Roma 3 1 Faculty of Economics, University of Cambridge 1 School of Economics, Singapore Management University 1 Tinbergen Institute 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Annals of the Institute of Statistical Mathematics 10 Discussion paper / Tinbergen Institute 6 Tinbergen Institute Discussion Paper 6 Journal of Multivariate Analysis 3 Journal of econometrics 3 Tinbergen Institute Discussion Papers 3 Computational Statistics 2 Computational Statistics & Data Analysis 2 European journal of operational research : EJOR 2 Insurance / Mathematics & economics 2 International journal of theoretical and applied finance 2 Journal of Applied Statistics 2 Journal of Econometrics 2 Physica A: Statistical Mechanics and its Applications 2 Psychometrika 2 Statistical Applications in Genetics and Molecular Biology 2 Statistics & Probability Letters 2 Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries 1 Applied Economics Letters 1 Applied economics 1 Applied economics letters 1 CESifo Working Paper 1 CESifo working papers 1 CREATES research paper 1 Cambridge Working Papers in Economics 1 Department of Economics discussion paper series / University of Oxford 1 Departmental Working Papers of Economics - University 'Roma Tre' 1 Deutsche Bundesbank Discussion Paper 1 Discussion Papers 1 Discussion paper 1 Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP) 1 Diskussionsschriften / Universität Bern, Departement Volkswirtschaftlehre 1 ESRB Working Paper Series 1 Econometric Reviews 1 Economic theory : official journal of the Society for the Advancement of Economic Theory 1 Economics Working Papers / Departamento de Economía, Universidad Carlos III de Madrid 1 Economics letters 1 Eurasian Academy Of Sciences Social Sciences Journal 1 Evolutionary and institutional economics review 1 Finance and economics discussion series 1
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Source
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ECONIS (ZBW) 51 RePEc 46 EconStor 15 BASE 1 Other ZBW resources 1
Showing 81 - 90 of 114
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Distances between models of generalized order statistics
Vuong, Q.N.; Bedbur, S.; Kamps, U. - In: Journal of Multivariate Analysis 118 (2013) C, pp. 24-36
The concept of generalized order statistics is a distribution theoretical set-up, which contains a variety of models for ordered data as particular cases, such as common order statistics, sequential order statistics, progressively type-II censored order statistics, record values, kth record...
Persistent link: https://www.econbiz.de/10010665702
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Converting information into probability measures with the Kullback–Leibler divergence
Bissiri, Pier; Walker, Stephen - In: Annals of the Institute of Statistical Mathematics 64 (2012) 6, pp. 1139-1160
and the key to this process is shown to be the Kullback–Leibler divergence. The Bayesian approach can be derived as a …
Persistent link: https://www.econbiz.de/10010848643
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Convergence rate for predictive recursion estimation of finite mixtures
Martin, Ryan - In: Statistics & Probability Letters 82 (2012) 2, pp. 378-384
Predictive recursion (PR) is a fast stochastic algorithm for nonparametric estimation of mixing distributions in mixture models. It is known that the PR estimates of both the mixing and mixture densities are consistent under fairly mild conditions, but currently very little is known about the...
Persistent link: https://www.econbiz.de/10010576150
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Bayesian hypothesis testing in latent variable models
Li, Yong; Yu, Jun - In: Journal of Econometrics 166 (2012) 2, pp. 237-246
Hypothesis testing using Bayes factors (BFs) is known not to be well defined under the improper prior. In the context of latent variable models, an additional problem with BFs is that they are difficult to compute. In this paper, a new Bayesian method, based on the decision theory and the EM...
Persistent link: https://www.econbiz.de/10010577521
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A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, Lennart; Opschoor, Anne; Dijk, Herman K. van - In: Journal of Econometrics 171 (2012) 2, pp. 101-120
–typically a posterior distribution, of which we only require a kernel–in the sense that the Kullback–Leibler divergence between …
Persistent link: https://www.econbiz.de/10010588322
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Characterization properties of the log-normal distribution obtained with the help of divergence measures
Tzavelas, George; Economou, Polychronis - In: Statistics & Probability Letters 82 (2012) 10, pp. 1837-1840
The aim of this work is to provide some characterization properties of the log-normal distribution with the help of divergence measures between a probability density function f and its r-size weighted counterpart fr. The characterization can be expressed in terms the Kullback–Leibler, the...
Persistent link: https://www.econbiz.de/10010597165
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Discriminating Between Weibull and Log-Normal Distributions Based on Kullback-Leibler Divergence
Bromideh, Ali Akbar - In: Istanbul University Econometrics and Statistics e-Journal 16 (2012) 1, pp. 44-54
-Leibler information is a measure of uncertainty between two densities. We examine the use of Kullback-Leibler Divergence (KLD) in …
Persistent link: https://www.econbiz.de/10010628275
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A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, Lennart; Opschoor, Anne; Dijk, Herman K. van - In: Journal of econometrics 171 (2012) 2, pp. 101-120
Persistent link: https://www.econbiz.de/10009691174
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Scaled Bregman divergences in a Tsallis scenario
Venkatesan, R.C.; Plastino, A. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 15, pp. 2749-2758
There exist two different versions of the Kullback–Leibler divergence (K–Ld) in Tsallis statistics, namely the usual …
Persistent link: https://www.econbiz.de/10010589183
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Bayesian Hypothesis Testing in Latent Variable Models
Li, Yong; Yu, Jun - School of Economics, Singapore Management University - 2011
Hypothesis testing using Bayes factors (BFs) is known not to be well dened under the improper prior. In the context of latent variable models, an additional problem with BFs is that they are difficult to compute. In this paper, a new Bayesian method, based on decision theory and the EM...
Persistent link: https://www.econbiz.de/10009274320
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