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Sample out-of-sample inference based on Wasserstein distance

Blanchet, Jose; Kang, Yang - In: Operations research 69 (2021) 3, pp. 985-1013

Persistent link: https://www.econbiz.de/10012546913

Comparing multivariate distributions : a novel approach using optimal transport-based plots

Singha, Sibsankar; Kratz, Marie; Vadlamani, Sreekar - 2024

Persistent link: https://www.econbiz.de/10014545370

Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments

Gzyl, Henryk; Novi-Inverardi, Pier-Luigi; Tagliani, Aldo - In: Insurance 53 (2013) 2, pp. 457-463

Persistent link: https://www.econbiz.de/10010195910

(Generalized) maximum cumulative direct, paired, and residual π entropy principle

Klein, Ingo - 2017

Jaynes (1957a,b) formulates the maximum entropy (ME) principle as the search for a distribution maximizing a given … entropy under some given constraints. Kapur (1984) and Kesavan & Kapur (1989) introduce the generalized maximum entropy … principle as the derivation of an entropy for which a given distribution has the maximum entropy property under some given …

Persistent link: https://www.econbiz.de/10011761132

Large deviations for risk measures in finite mixture models

Bignozzi, Valeria; Macci, Claudio; Petrella, Lea - In: Insurance 80 (2018), pp. 84-92

Persistent link: https://www.econbiz.de/10011872915

Sample dependence of risk premiums

Gomes-Gonçalves, Erika; Gzyl, Henryk; Mayoral, Silvia - In: The journal of operational risk 14 (2019) 2, pp. 21-37

Persistent link: https://www.econbiz.de/10012052401

An Entropy-Based Approach for Nonparametrically Testing Simple Probability Distribution Hypotheses

Mittelhammer, Ron C.; Judge, George G.; Henry, Miguel - 2022

n this paper, we introduce a flexible and widely applicable nonparametric entropy-based testing procedure that can be … alternative test statistics, the proposed entropy test is free from user-specified kernel and bandwidth choices, idiosyncratic and …

Persistent link: https://www.econbiz.de/10013298495

A comment on the bias of probabilities derived from betting odds and their use in measuring outcome uncertainty

Štrumbelj, Erik - In: Journal of sports economics 17 (2016) 1, pp. 12-26

Persistent link: https://www.econbiz.de/10011422895

Uncertainty, information, and disagreement of economic forecasters

Shoja, Mehdi; Soofi, Ehsan S. - In: Econometric reviews 36 (2017) 6/9, pp. 796-817

Persistent link: https://www.econbiz.de/10011795499

Sum-of-the-parts revised : economic regimes and flexible probabilities

Haase, Felix - 2024 - First Draft: September 9, 2024

conditional and mixture densities as view generators. We use entropy pooling to re-weight the historical distribution to derive …

Persistent link: https://www.econbiz.de/10015062491