Risk, entropy, and the transformation of distributions / by R. Mark Reesor and Don L. McLeish. : FB3-2/102-11E

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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.--Abstract

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Publication information
Department/Agency Bank of Canada.
Title Risk, entropy, and the transformation of distributions / by R. Mark Reesor and Don L. McLeish.
Series title Working paper1192-54342002-11
Publication type Series - View Master Record
Language [English]
Format Paper
Other formats Electronic-[English]
Note(s) "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."--Abstract.
Résumés en français
Publishing information Ottawa - Ontario : Bank of Canada 2002.
Binding Softcover
Description v, 34p. : graphs, references, tables ; 28 cm.
ISSN 1192-5434
Catalogue number
  • FB3-2/102-11E
Subject terms Distribution
Economic indicators
Models
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