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  • Search: subject:"q-Entropy"
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Year of publication
Subject
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q-Entropy 6 Maximum Likelihood 4 q-entropy 4 Extreme Value Theory 3 Tail-related Risk Measures 2 power-divergence 2 robust estimation 2 Ab-initio simulation of quantum systems 1 Aktienindex 1 Atomic total energy 1 Biological growth 1 Chaos 1 Estimation theory 1 Evolution 1 Financial analysis 1 Finanzanalyse 1 Finite heat reservoir 1 Index tracking 1 Investment analysis 1 Kleinste-Quadrate-Methode 1 Least squares method 1 Maximum entropy 1 Mutual information 1 Non-extensive q-entropy 1 Penalized least squares 1 Portfolio selection 1 Portfolio-Management 1 Robust Estimation 1 Robust statistics 1 Robustes Verfahren 1 Schätztheorie 1 Sparsity 1 Stock index 1 Tail-related risk measures 1 Variational principles 1 _nancial returns 1 financial returns 1
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Online availability
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Undetermined 5 Free 1
Type of publication
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Book / Working Paper 6 Article 5
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 7 Undetermined 4
Author
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Ferrari, Davide 7 Paterlini, Sandra 6 Amador, C.H.S. 1 Biró, T.S. 1 Efthymiopoulos, C. 1 Giuzio, Margherita 1 Lukes-Gerakopoulos, G. 1 Sieniutycz, Stanislaw 1 Voglis, N. 1 Zambrano, L.S. 1
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Institution
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Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 6
Published in...
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Physica A: Statistical Mechanics and its Applications 4 Center for Economic Research (RECent) 3 Department of Economics / Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 2 Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 1 European journal of operational research : EJOR 1
Source
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RePEc 10 ECONIS (ZBW) 1
Showing 1 - 10 of 11
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Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization
Giuzio, Margherita; Ferrari, Davide; Paterlini, Sandra - In: European journal of operational research : EJOR 250 (2016) 1, pp. 251-261
Persistent link: https://www.econbiz.de/10011441400
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The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance
Ferrari, Davide; Paterlini, Sandra - Dipartimento di Economia "Marco Biagi", Università … - 2007
Estimating financial risk is a critical issue for banks and insurance companies. Recently, quantile estimation based on Extreme Value Theory (EVT) has found a successful domain of application in such a context, outperforming other approaches. Given a parametric model provided by EVT, a natural...
Persistent link: https://www.econbiz.de/10005636185
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Ideal gas provides q-entropy
Biró, T.S. - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 15, pp. 3132-3139
A mathematical procedure is suggested to obtain deformed entropy formulas of type K(SK)=∑PiK(−lnPi), by requiring zero mutual K(SK)-information between a finite subsystem and a finite reservoir. The use of this method is first demonstrated on the ideal gas equation of state with finite...
Persistent link: https://www.econbiz.de/10011058779
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Efficient and robust estimation for financial returns: an approach based on q-entropy
Ferrari, Davide; Paterlini, Sandra - Dipartimento di Economia "Marco Biagi", Università … - 2010
We consider a new robust parametric estimation procedure, which minimizes an empirical version of the Havrda-Charv_at-Tsallis entropy. The resulting estimator adapts according to the discrepancy between the data and the assumed model by tuning a single constant q, which controls the trade-o_...
Persistent link: https://www.econbiz.de/10008512955
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Evidence for energy regularity in the Mendeleev periodic table
Amador, C.H.S.; Zambrano, L.S. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 18, pp. 3866-3869
We show that the dependence of the total energy of the atoms on their atomic number can follow a q-exponential (as proposed by C. Tsallis), for practically all elements of the periodic table. The result is qualitatively explained in terms of the way the atomic configurations are arranged to...
Persistent link: https://www.econbiz.de/10010589073
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Efficient and robust estimation for financial returns: an approach based on q-entropy
Ferrari, Davide; Paterlini, Sandra - Dipartimento di Economia "Marco Biagi", Università … - 2010
We consider a new robust parametric estimation procedure, which minimizes an empirical version of the Havrda-Charvàt-Tsallis entropy. The resulting estimator adapts according to the discrepancy between the data and the assumed model by tuning a single constant q, which controls the trade-off...
Persistent link: https://www.econbiz.de/10008625854
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The production of Tsallis entropy in the limit of weak chaos and a new indicator of chaoticity
Lukes-Gerakopoulos, G.; Voglis, N.; Efthymiopoulos, C. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 8, pp. 1907-1925
constant rate of increase of the Tsallis q-entropy [C. Tsallis, Possible generalization of Boltzmann–Gibbs Statistics, Journal … simply related to the entropic exponent for which the q-entropy exhibits a constant rate of increase. This analysis leads to … weakly chaotic orbits exhibiting the ‘metastable’ behaviour associated with the Tsallis q-entropy. …
Persistent link: https://www.econbiz.de/10010873089
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Parametric density estimation by minimizing nonextensive entropy
Ferrari, Davide - Dipartimento di Economia "Marco Biagi", Università … - 2008
In this paper, we consider parametric density estimation based on minimizing the Havrda-Charvat-Tsallis nonextensive entropy. The resulting estimator, called the Maximum Lq-Likelihood estimator (MLqE), is indexed by a single distortion parameter q, which controls the trade-off between bias and...
Persistent link: https://www.econbiz.de/10005181824
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The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance
Ferrari, Davide; Paterlini, Sandra - Dipartimento di Economia "Marco Biagi", Università … - 2007
Estimating financial risk is a critical issue for banks and insurance companies. Recently, quantile estimation based on Extreme Value Theory (EVT) has found a successful domain of application in such a context, outperforming other approaches. Given a parametric model provided by EVT, a natural...
Persistent link: https://www.econbiz.de/10005416791
Saved in:
Cover Image
The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance
Ferrari, Davide; Paterlini, Sandra - Dipartimento di Economia "Marco Biagi", Università … - 2007
Estimating financial risk is a critical issue for banks and insurance companies. Recently, quantile estimation based on Extreme Value Theory (EVT) has found a successful domain of application in such a context, outperforming other approaches. Given a parametric model provided by EVT, a natural...
Persistent link: https://www.econbiz.de/10005636139
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