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Rényi information for ergodic diffusion processes

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Author Info
Alessandro De Gregorio (Università di Milano, Italy)
Stefano Iacus (Università di Milano, Italy)

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Abstract

In this paper we derive explicit formulas of the R\'enyi information, Shannon entropy and Song measure for the invariant density of one dimensional ergodic diffusion processes. In particular, the diffusion models considered include the hyperbolic, the generalized inverse Gaussian, the Pearson, the exponential familiy and a new class of skew-t diffusions.

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Publisher Info
Paper provided by Universitá degli Studi di Milano in its series UNIMI - Research Papers in Economics, Business, and Statistics with number 1064.

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Date of creation: 12 Nov 2007
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Handle: RePEc:bep:unimip:1064

Note: oai:cdlib1:unimi-1064
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Related research
Keywords: Rényi entropy Shannon entropy Song measure ergodic diffusion processes invariant law

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This page was last updated on 2008-7-17.

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