Portfolio Selection in the Credibilistic Framework Using Renyi Entropy and Renyi Cross Entropy
نویسندگان
چکیده
منابع مشابه
Renyi Entropy Estimation Revisited
We revisit the problem of estimating entropy of discrete distributions from independent samples, studied recently by Acharya, Orlitsky, Suresh and Tyagi (SODA 2015), improving their upper and lower bounds on the necessary sample size n. For estimating Renyi entropy of order α, up to constant accuracy and error probability, we show the following Upper bounds n = O(1) · 2(1− 1 α )Hα for integer α...
متن کاملShannon Entropy , Renyi Entropy , and Information
This memo contains proofs that the Shannon entropy is the limiting case of both the Renyi entropy and the Tsallis entropy, or information. These results are also confirmed experimentally. We conclude with some general observations on the utility of entropy measures. A brief summary of the origins of the concept of physical entropy are provided in an appendix.
متن کاملShannon and Renyi Entropy of Wavelets
This paper reports a new reading for wavelets, which is based on the classical ’De Broglie’ principle. The waveparticle duality principle is adapted to wavelets. Every continuous basic wavelet is associated with a proper probability density, allowing defining the Shannon entropy of a wavelet. Further entropy definitions are considered, such as Jumarie or Renyi entropy of wavelets. We proved tha...
متن کاملA Comprehensive Comparison of Shannon Entropy and Smooth Renyi Entropy
We provide a new result that links two crucial entropy notions: Shannon Entropy H1 and collision entropy H2. Our formula gives the worst possible amount of collision entropy in a probability distribution, when its Shannon Entropy is fixed. Our results and techniques used in the proof immediately imply many quantitatively tight separations between Shannon and smooth Renyi entropy, which were pre...
متن کاملShannon Entropy Versus Renyi Entropy from a Cryptographic Viewpoint
We provide a new inequality that links two important entropy notions: Shannon Entropy H1 and collision entropy H2. Our formula gives the worst possible amount of collision entropy in a probability distribution, when its Shannon Entropy is fixed. While in practice it is easier to evaluate Shannon entropy than other entropy notions, it is well known in folklore that it does not provide a good est...
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: INTERNATIONAL JOURNAL of FUZZY LOGIC and INTELLIGENT SYSTEMS
سال: 2018
ISSN: 1598-2645,2093-744X
DOI: 10.5391/ijfis.2018.18.1.78