Estimates of some entropies and their relevance in financial market
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Abstract
Using various types of bivariate beta priors such as bivariate beta type-I prior, Conner and Mosimann bivariate beta prior and bivariate beta type-III prior, the Bayesian estimate of the entropy of type-(α) and entropy of type-(α,β) are derived for multinomial likelihood. Bayesian estimates of Shannon entropy for different bivariate beta priors can be represented as a limiting function of Bayesian estimates of entropy of type-(α). In this paper, the parameters of the bivariate beta type-III prior under multinomial likelihood in Moody's corporate bond default rates data are selected using the Bayesian estimate of the entropy type -(α).
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Dhiraj Kumar Singh, & Bhatt, H. (2025). Estimates of some entropies and their relevance in financial market. Gulf Journal of Mathematics, 20, 222-241. https://doi.org/10.56947/gjom.v20i.2820
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