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The relative entropy in CGMY processes and its applications to finance.
Young Shin Kim
Jeong Hyun Lee
Published in:
Math. Methods Oper. Res. (2007)
Keyphrases
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relative entropy
information theory
information theoretic
log likelihood
mutual information
covariance matrix
mahalanobis distance
maximum entropy
kullback leibler divergence
bregman divergences
training set
multi class
squared euclidean distance