关于累积熵作为风险度量的说明

Q3 Mathematics

Stochastics and Quality Control Pub Date : 2019-06-01 DOI:10.1515/eqc-2018-0019

S. Tahmasebi, H. Parsa

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引用次数: 7

摘要

[摘要]Di Crescenzo and Longobardi, On cumulative entropy， [j]。Plann。[j] [Inference][139, 2009, 12, 4072-4087]提出累积熵(CE)作为微分熵的替代方法。他们提出了一个使用经验方法的CE估计。在本文中，我们考虑了一种基于CE的风险度量，并将其与一些分布的标准差和基尼均值差进行了比较。我们还利用经济合作与发展组织(OECD)成员国股票市场的样本对这些措施进行了实证比较。

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Notes on Cumulative Entropy as a Risk Measure

Abstract Di Crescenzo and Longobardi [Di Crescenzo and Longobardi, On cumulative entropies, J. Statist. Plann. Inference 139 2009, 12, 4072–4087] proposed the cumulative entropy (CE) as an alternative to the differential entropy. They presented an estimator of CE using empirical approach. In this paper, we consider a risk measure based on CE and compare it with the standard deviation and the Gini mean difference for some distributions. We also make empirical comparisons of these measures using samples from stock market in members of the Organization for Economic Co-operation and Development (OECD) countries.

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来源期刊

Stochastics and Quality Control Mathematics-Discrete Mathematics and Combinatorics

CiteScore

1.10

自引率

0.00%

发文量