Clustering Financial Return Distributions Using the Fisher Information Metric
Information geometry provides a correspondence between differential geometry and statistics through the Fisher information matrix. In particular, given two models from the same parametric family of distributions, one can define the distance between these models as the length of the geodesic connecti...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-01-01
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| Series: | Entropy |
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| Online Access: | https://www.mdpi.com/1099-4300/21/2/110 |