Mark Reesor - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T05:45:54+00:00Risk, Entropy, and the Transformation of Distributions
https://www.bankofcanada.ca/2002/04/working-paper-2002-11/
The exponential family, relative entropy, and distortion are methods of transforming probability distributions. We establish a link between those methods, focusing on the relation between relative entropy and distortion.2002-04-01T11:54:42+00:00enRisk, Entropy, and the Transformation of Distributions2002-04-01Econometric and statistical methodsFinancial marketsMarket structure and pricingWorking Paper 2002-11 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-11.pdfRisk, Entropy, and the Transformation of DistributionsMark ReesorDon McLeishApril 2002CC0C1DD8GG0