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On Rényi information for ergodic diffusion processes

2008; Elsevier BV; Volume: 179; Issue: 3 Linguagem: Inglês

10.1016/j.ins.2008.09.016

1872-6291

Alessandro De Gregorio, Stefano M. Iacus,

Statistical Mechanics and Entropy

In this paper, we derive explicit formulas of the Rényi information, Shannon entropy and Song measure for the invariant density of one dimensional ergodic diffusion processes. In particular, the diffusion models considered include the hyperbolic, the generalized inverse Gaussian, the Pearson, the exponential family and a new class of skew-t diffusions.