Connections between entropic and linear projections in asset pricing estimation
The concept of entropy has a long and distinguished history in the physical sciences and engineering, in fields ranging from thermodynamics to image processing. Each of these applications employs a probability distribution that solves a relative entropy projection problem, i.e. an optimization probl...
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| Published in | Journal of econometrics Vol. 107; no. 1; pp. 159 - 174 |
|---|---|
| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Amsterdam
Elsevier B.V
01.03.2002
Elsevier Elsevier Sequoia S.A |
| Series | Journal of Econometrics |
| Subjects | |
| Online Access | Get full text |
| ISSN | 0304-4076 1872-6895 |
| DOI | 10.1016/S0304-4076(01)00118-X |
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| Abstract | The concept of entropy has a long and distinguished history in the physical sciences and engineering, in fields ranging from thermodynamics to image processing. Each of these applications employs a probability distribution that solves a
relative entropy projection problem, i.e. an optimization problem with an entropy objective, subject to linear (e.g. moment) constraints.
This paper develops the relationship between relative entropy project approaches and the better-known linear projection approaches to problems of estimation and performance diagnostics for stochastic discount factor models in asset pricing. Frequentist interpretations of relative entropy, enabled by large deviations theory, are used to unify the interpretation of the seemingly disparate procedures. |
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| AbstractList | The concept of entropy has a long distinguished history in the physical sciences and engineering, in fields ranging from thermodynamics to image processing. Each of these applications employs a probability distribution that solves a relative entropy projection problem, that is, an optimization problem with the entropy objective, subject to linear (e.g. moment) constraints. This paper develops the relationship between relative entropy project approaches and the better-known linear projection approaches to problems of estimation of performance diagnostics for stochastic discount factor models in asset pricing. Frequentist interpretations of relative entropy, enabled by large deviations theory, are used to unify the interpretation of the seemingly disparate procedures. The concept of entropy has a long and distinguished history in the physical sciences and engineering, in fields ranging from thermodynamics to image processing. Each of these applications employs a probability distribution that solves a relative entropy projection problem, i.e. an optimization problem with an entropy objective, subject to linear (e.g. moment) constraints. This paper develops the relationship between relative entropy project approaches and the better-known linear projection approaches to problems of estimation and performance diagnostics for stochastic discount factor models in asset pricing. Frequentist interpretations of relative entropy, enabled by large deviations theory, are used to unify the interpretation of the seemingly disparate procedures. |
| Author | Stutzer, Michael Kitamura, Yuichi |
| Author_xml | – sequence: 1 givenname: Yuichi surname: Kitamura fullname: Kitamura, Yuichi organization: Department of Economics, University of Pennsylvania, Philadelphia, PA 19104, USA – sequence: 2 givenname: Michael surname: Stutzer fullname: Stutzer, Michael email: michael-stutzer@uiowa.edu organization: Department of Finance, Tippie College of Business, University of Iowa, Iowa City, IA 52242, USA |
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| Cites_doi | 10.1214/aos/1176325370 10.1016/S0304-405X(99)00006-9 10.2307/1912526 10.2307/2329114 10.1214/aop/1176993227 10.2307/2971718 10.2307/2998561 10.2307/1392444 10.1214/aos/1069362388 10.1016/0304-4076(94)01656-K 10.1214/aop/1176996454 10.1214/aop/1176993370 10.2307/1392447 10.1086/261749 10.1016/0304-405X(94)90029-9 10.2307/1912775 10.2307/2329490 10.2307/2171942 |
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| Keywords | C111 C13 GMM Entropy Large deviations Information Stochastic discount factor |
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| SubjectTerms | Asset valuation Econometrics Entropy Estimating techniques Estimation Generalized method of moments GMM Information Large deviations Prices Stochastic discount factor Stochastic models Stochastic processes Studies |
| Title | Connections between entropic and linear projections in asset pricing estimation |
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