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Limiting Distributions for Minimum Relative Entropy Calibration
Journal of Applied Probability
Vol. 41, No. 1 (Mar., 2004), pp. 35-50
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/3215813
Page Count: 16
You can always find the topics here!Topics: Calibration, Entropy, Approximation, Prices, Markov chains, Mathematical moments, Finance, Market prices, Perceptron convergence procedure, Mathematical minima
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We consider minimum relative entropy calibration of a given prior distribution to a finite set of moment constraints. We show that the calibration algorithm is stable (in the Prokhorov metric) under a perturbation of the prior and the calibrated distributions converge in variation to the measure from which the moments have been taken as more constraints are added. These facts are used to explain the limiting properties of the minimum relative entropy Monte Carlo calibration algorithm.
Journal of Applied Probability © 2004 Applied Probability Trust