منابع مشابه
Measures of maximal entropy
We extend the results of Walters on the uniqueness of invariant measures with maximal entropy on compact groups to an arbitrary locally compact group. We show that the maximal entropy is attained at the left Haar measure and the measure of maximal entropy is unique.
متن کاملEntropy Coherent and Entropy Convex Measures of Risk
We introduce two subclasses of convex measures of risk, referred to as entropy coherent and entropy convex measures of risk. Entropy coherent and entropy convex measures of risk are special cases of φ-coherent and φ-convex measures of risk. Contrary to the classical use of coherent and convex measures of risk, which for a given probabilistic model entails evaluating a financial position by cons...
متن کاملInformation Entropy and Measures of Market Risk
In this paper we investigate the relationship between the information entropy of the distribution of intraday returns and intraday and daily measures of market risk. Using data on the EUR/JPY exchange rate, we find a negative relationship between entropy and intraday Value-at-Risk, and also between entropy and intraday Expected Shortfall. This relationship is then used to forecast daily Value-a...
متن کاملDivergence measures based on the Shannon entropy
A new class of information-theoretic divergence measures based on the Shannon entropy is introduced. Unlike the well-known Kullback divergences, the new measures do not require the condition of absolute continuity to be satisfied by the probability distributions involved. More importantly, their close relationship with the variational distance and the probability of misclassification error are ...
متن کاملSparsity-Based Criteria for Entropy Measures
The complexity of a signal defines the compressibility of its coefficients under appropriate basis. This relation complexity-compressibility suggests a connection between the functions used to measure both of the signal’s properties. A measure of entropy quantifies the degree of complexity of a signal. In a analogous way, a measure of (non-strict) sparsity quantifies the degree of compressibili...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2020
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2019.01.016