Updating Probabilities: An Econometric Example

Details Updating Probabilities: An Econometric Example Updating Probabilities: An Econometric Example

2007-10-15

arxiv.org/abs/0710.2912v1

Statistics

Methodology

Presented at the 3rd Econophysics Colloquium, Ancona, Italy, Sept 27-29, 2007. 12 pages, 1 figure

Scientific paper

We demonstrate how information in the form of observable data and moment constraints are introduced into the method of Maximum relative Entropy (ME). A general example of updating with data and moments is shown. A specific econometric example is solved in detail which can then be used as a template for real world problems. A numerical example is compared to a large deviation solution which illustrates some of the advantages of the ME method.

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