Statistical Estimation of the Kullback–Leibler Divergence
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Li, Jinyang & Shang, Pengjian, 2018. "Time irreversibility of financial time series based on higher moments and multiscale Kullback–Leibler divergence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 248-255.
- Patricia Alonso Ruiz & Evgeny Spodarev, 2018. "Entropy-based Inhomogeneity Detection in Fiber Materials," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1223-1239, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Cadirci, Mehmet Siddik & Evans, Dafydd & Leonenko, Nikolai & Makogin, Vitalii, 2022. "Entropy-based test for generalised Gaussian distributions," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Wu, Yue & Shang, Pengjian & Chen, Shijian, 2019. "Modified multifractal large deviation spectrum based on CID for financial market system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1331-1342.
- Jessica Morales Herrera & Ra'ul Salgado-Garc'ia, 2023. "Trend patterns statistics for assessing irreversibility in cryptocurrencies: time-asymmetry versus inefficiency," Papers 2307.08612, arXiv.org.
More about this item
Keywords
Kullback–Leibler divergence; Shannon differential entropy; statistical estimates; k-nearest neighbor statistics; asymptotic behavior; Gaussian model; mixtures;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jmathe:v:9:y:2021:i:5:p:544-:d:510564. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.