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Volumn 18, Issue 2, 1999, Pages 127-140

An efficient algorithm to compute maximum entropy densities

Author keywords

Density estimation; Maximum entropy principle; Shannon entropy

Indexed keywords


EID: 77950975249     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474939908800436     Document Type: Article
Times cited : (61)

References (13)
  • 1
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    • An algorithm for determining the Lagrange parameters in the maximum entropy formalism
    • Cambridge: MA:MIT Press, and
    • Agmon, N., Alhassid, Y., and Levine, R. D., 1981. “ An algorithm for determining the Lagrange parameters in the maximum entropy formalism ”. In In The Maximum Entropy Formalism, 207–209. Cambridge: MA:MIT Press.
    • (1981) In The Maximum Entropy Formalism , pp. 207-209
    • Agmon, N.1    Alhassid, Y.2    Levine, R.D.3
  • 2
    • 0030545118 scopus 로고    scopus 로고
    • The maximum entropy distribution of an asset inferred from option prices
    • Buchen, P. W., and Kelly, M., 1996. The maximum entropy distribution of an asset inferred from option prices. Journal of Financial and Quantitative Analysis, 31 (1): 143–159.
    • (1996) Journal of Financial and Quantitative Analysis , vol.31 , Issue.1 , pp. 143-159
    • Buchen, P.W.1    Kelly, M.2
  • 3
    • 30244446298 scopus 로고
    • Estimation and moment recursion relations for multimodal distributions of the exponential family
    • Cobb, L., Koppstein, P., and Chen, N. H., 1983. Estimation and moment recursion relations for multimodal distributions of the exponential family. Journal of the American Statistical Association, 78: 124–130.
    • (1983) Journal of the American Statistical Association , vol.78 , pp. 124-130
    • Cobb, L.1    Koppstein, P.2    Chen, N.H.3
  • 7
    • 84925016065 scopus 로고
    • A compendium to information theory in economics and econometrics
    • Maasoumi, E., 1993. A compendium to information theory in economics and econometrics. Econometric Reviews, 12: 137–182.
    • (1993) Econometric Reviews , vol.12 , pp. 137-182
    • Maasoumi, E.1
  • 11
    • 0040518858 scopus 로고    scopus 로고
    • A simple nonparametric approach to derivative security valuation
    • Stutzer, M., 1996. A simple nonparametric approach to derivative security valuation. Journal of Finance, 51 (5): 1633–1653.
    • (1996) Journal of Finance , vol.51 , Issue.5 , pp. 1633-1653
    • Stutzer, M.1
  • 12
    • 85071343289 scopus 로고    scopus 로고
    • Option pricing in modern finance theory and the relevance of artificial neural networks
    • Tutorial Presentation
    • White, H., 1996. Option pricing in modern finance theory and the relevance of artificial neural networks. Advances in Neural Information Processing Systems 8., Tutorial Presentation
    • (1996) Advances in Neural Information Processing Systems 8.
    • White, H.1
  • 13
    • 0000405372 scopus 로고
    • Calculation of maximum entropy distributions and approximation of marginal posterior distributions
    • Zellner, A., and Highfield, R. A., 1988. Calculation of maximum entropy distributions and approximation of marginal posterior distributions. Journal of Econometrics, 37: 195–209.
    • (1988) Journal of Econometrics , vol.37 , pp. 195-209
    • Zellner, A.1    Highfield, R.A.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.