Clustering Financial Return Distributions Using the Fisher Information Metric.
Stephen TaylorPublished in: Entropy (2019)
Keyphrases
- fisher information
- exponential family
- kullback leibler divergence
- multidimensional scaling
- information geometry
- kl divergence
- clustering algorithm
- probability density function
- k means
- euclidean space
- information theoretic
- riemannian metric
- positive definite
- clustering method
- density estimation
- noise level
- cluster analysis
- unsupervised learning
- data points
- geodesic distance
- estimation error
- probability distribution
- free energy
- maximum likelihood
- high dimensional data
- closed form
- distance metric
- probability density
- log likelihood
- distance measure
- mutual information
- dimensionality reduction
- metric learning
- gaussian distribution
- vector space