Rényi information for ergodic diffusion processes
Alessandro De Gregorio, Universitŕ di Milano, Italy
Stefano Iacus, Universitŕ di Milano, Italy
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ABSTRACT:
In this paper we derive explicit formulas of the R\'enyi information, Shannon entropy and Song measure for the invariant density of one dimensional ergodic diffusion processes. In particular, the diffusion models considered include the hyperbolic, the generalized inverse Gaussian, the Pearson, the exponential familiy and a new class of skew-t diffusions.
SUGGESTED CITATION:
Alessandro De Gregorio and Stefano Iacus,
"Rényi information for ergodic diffusion processes"
(November 2007).
UNIMI - Research Papers in Economics, Business, and Statistics.
Statistics and Mathematics.
Working Paper 30.
http://services.bepress.com/unimi/statistics/art30
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