Bounds on Some Entropy Risk Measures for Finite Mixtures of Multivariate Skew-t Distributions

نویسندگانFatemeh Yousefzadeh
همایشپانزدهمین کنفرانس آمار ایران
تاریخ برگزاری همایش2020-09-09
محل برگزاری همایشیزد
شماره صفحات0-0
نوع ارائهسخنرانی
سطح همایشداخلی

چکیده مقاله

Entropy is a risk measure which has played an important role in quantity of information losses. Also entropy applications have been developed in mixture models. In this paper, we consider a class of skew-t mixture models. Upper and lower bounds for Shannon, Renyi, Tsallis and Verma entropies are found for this model. Then simulation studies are examined on the financial data set.

لینک ثابت مقاله

کلیدواژه‌ها: Finite mixture, Risk, Renyi, Skew-t, Shannon, Tsallis, Verma.