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
On Rényi information for ergodic diffusion processes / A. De Gregorio, S.M. Iacus. - In: INFORMATION SCIENCES. - ISSN 0020-0255. - 179:3(2009 Jan 16), pp. 279-291.
On Rényi information for ergodic diffusion processes
S.M. IacusUltimo
2009
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
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