On Rényi information for ergodic diffusion processes

Authors:
Alessandro De Gregorio;Stefano M. Iacus
Affiliations:
Dipartimento di Statistica, Probabilita' e Statistiche Applicate, P.le Aldo Moro 5, 00185 Rome, Italy;Dipartimento di Scienze Economiche, Aziendali e Statistiche, Via Conservatorio 7, 20122 Milan, Italy
Venue:
Information Sciences: an International Journal
Year:
2009

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Abstract

In this paper, we derive explicit formulas of the Renyi 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 family and a new class of skew-t diffusions.