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Rényi information for ergodic diffusion processes

Author

Listed:
  • Alessandro De Gregorio

    (Università di Milano, Italy)

  • Stefano Iacus

    (Università di Milano, Italy)

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.

Suggested Citation

  • Alessandro De Gregorio & Stefano Iacus, 2007. "Rényi information for ergodic diffusion processes," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1064, Universitá degli Studi di Milano.
    • Handle: RePEc:bep:unimip:unimi-1064
    Note: oai:cdlib1:unimi-1064
    as

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