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Quantitative Finance · Begrippenlijst

Wat is Kullback–Leibler divergence, quasi-maximum likelihood?

Ook bekend als: Kullback--Leibler divergence · quasi-maximum likelihood

Definition 11.5 Quantitative Methods · Hoofdstuk 11 — Estimation

The Kullback–Leibler divergence of a density ff from the true density pp is DKL(p ∥ f)=Ep[ln⁡(p(X)/f(X))]≥0D_{\mathrm{KL}}(p\,\|\,f) = \E_p[\ln(p(X)/f(X))] \ge 0, zero only if f=pf = p. Quasi-maximum likelihood maximises a likelihood that is not believed to be the true one.

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