Kernel Density Estimator for the Mutual Information

školitel: Dr. Georges Darbellay
e-mail: zobrazit e-mail
typ práce: bakalářská práce, diplomová práce
zaměření: MI_MM, II_SIMI
klíčová slova: Density estimators, Statistics, Finantial time series, Information
popis: The mutual information is a measure of the dependence between two random variables. In many ways it has better properties than the widely used coefficient of linear correlation. In this project we are interested in analysing statistical dependences in finantial time series. To estimate the mutual information from data it is necessary to construct an estimator. Our goal will be to develop a multivariate kernel density estimator, test it on some examples for which the mutual information is known analytically, and apply it to data from the financial markets. This work includes some programming since we are dealing with data.
naposledy změněno: 16.09.2011 08:33:48

za obsah této stránky zodpovídá: Radek Fučík | naposledy změněno: 12.9.2011
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