New measure selection for Hunt–Devolder semi-Markov regime switching interest rate models

Preda, Vasile; Dedu, Silvia; Sheraz, Muhammad

doi:10.1016/j.physa.2014.04.011

Cited by 31 publications

(15 citation statements)

References 14 publications

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“…Cluster #12 is titled as pseudo-additive entropy, Tsallis entropy, and different entropy formalism, respectively. This cluster mainly talks about Tsallis entropy, Tsallis statistics, and their applications, including some foundational articles like [ 73 , 74 , 75 ], etc. The first paper [ 73 ] provided some important and basic results about Tsallis entropy.…”

Section: Reference Co-citation Networkmentioning

confidence: 99%

Twenty Years of Entropy Research: A Bibliometric Overview

Zhao

Wang

et al. 2019

Entropy

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Entropy, founded in 1999, is an emerging international journal in the field of entropy and information studies. In the year of 2018, the journal enjoyed its 20th anniversary, and therefore, it is quite reasonable and meaningful to conduct a retrospective as its birthday gift. In accordance with Entropy’s distinctive name and research area, this paper creatively provides a bibliometric analysis method to not only look back at the vicissitude of the entire entropy topic, but also witness the journal’s growth and influence during this process. Based on 123,063 records extracted from the Web of Science, the work in sequence analyzes publication outputs, high-cited literature, and reference co-citation networks, in the aspects of the topic and the journal, respectively. The results indicate that the topic now has become a tremendous research domain and is still roaring ahead with great potentiality, widely researched by different kinds of disciplines. The most significant hotspots so far are suggested as the theoretical or practical innovation of graph entropy, permutation entropy, and pseudo-additive entropy. Furthermore, with the rapid growth in recent years, Entropy has attracted many dominant authors of the topic and experiences a distinctive geographical publication distribution. More importantly, in the midst of the topic, the journal has made enormous contributions to major research areas, particularly being a spear head in the studies of multiscale entropy and permutation entropy.

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Section: Reference Co-citation Networkmentioning

confidence: 99%

Twenty Years of Entropy Research: A Bibliometric Overview

Zhao

Wang

et al. 2019

Entropy

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“…Recently Trivellato [21,22] used the minimization of the divergence corresponding to the Tsallis entropy as a criterion to select a pricing measure in the valuation problems of incomplete markets and gave conditions on the existence and on the equivalence to the basic measure of the minimal k-entropy martingale measure. Preda et al [23] used some general entropy measures in order to develop the method of measure selection for semi-Markov regime switching interest rate models in the framework of the Hunt-Devolder approach. The minimal entropy martingale for semi-Markov regime switching interest rate models is constructed using Tsallis and Kaniadakis entropies.…”

Section: The Tsallis Entropymentioning

confidence: 99%

New classes of Lorenz curves by maximizing Tsallis entropy under mean and Gini equality and inequality constraints

Preda

Dedu

Gheorghe³

2015

Physica A: Statistical Mechanics and its Applications

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“…We refer to [11] for the modified versions of χ 2 and KL divergences. Some applied models using divergence and entropy measures can be found in Toma and Leoni-Aubin [27], Kallberg et al [28], Preda et al [29] and Basu et al [2], among others.…”

Section: Examples Of Divergencesmentioning

confidence: 99%

Model Selection Criteria Using Divergences

Toma

2014

Entropy

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In this note we introduce some divergence-based model selection criteria. These criteria are defined by estimators of the expected overall discrepancy between the true unknown model and the candidate model, using dual representations of divergences and associated minimum divergence estimators. It is shown that the proposed criteria are asymptotically unbiased. The influence functions of these criteria are also derived and some comments on robustness are provided.

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New measure selection for Hunt–Devolder semi-Markov regime switching interest rate models

Cited by 31 publications

References 14 publications

Twenty Years of Entropy Research: A Bibliometric Overview

Twenty Years of Entropy Research: A Bibliometric Overview

New classes of Lorenz curves by maximizing Tsallis entropy under mean and Gini equality and inequality constraints

Model Selection Criteria Using Divergences

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