arXiv Open Access 2009

From Physics to Economics: An Econometric Example Using Maximum Relative Entropy

Adom Giffin

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Abstrak

Econophysics, is based on the premise that some ideas and methods from physics can be applied to economic situations. We intend to show in this paper how a physics concept such as entropy can be applied to an economic problem. In so doing, we demonstrate how information in the form of observable data and moment constraints are introduced into the method of Maximum relative Entropy (MrE). A general example of updating with data and moments is shown. Two specific econometric examples are solved in detail which can then be used as templates for real world problems. A numerical example is compared to a large deviation solution which illustrates some of the advantages of the MrE method.

Topik & Kata Kunci

q-fin.ST cs.IT physics.data-an physics.pop-ph stat.CO stat.ME

Penulis (1)

Adom Giffin

Format Sitasi

APA MLA BibTeX

Giffin, A. (2009). From Physics to Economics: An Econometric Example Using Maximum Relative Entropy. https://arxiv.org/abs/0901.0401

Akses Cepat

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Informasi Jurnal

Tahun Terbit: 2009
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓