遍历扩散过程的 Rényi 信息
概率论
2007-11-13 v1 统计理论
统计理论
摘要
本文推导了一维遍历扩散过程不变密度下 Rényi 信息、Shannon 熵和 Song 测度的显式公式。特别是，所考虑的扩散模型包括双曲模型、广义逆高斯模型、Pearson 模型、指数族模型以及一类新的偏斜-t扩散模型。
引用
@article{arxiv.0711.1789,
title = {Renyi information for ergodic diffusion processes},
author = {Alessandro De Gregorio and Stefano Iacus},
journal= {arXiv preprint arXiv:0711.1789},
year = {2007}
}
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