A new measure between sets of probability distributions with applications to erratic financial behavior

@article{James2021ANM,
  title={A new measure between sets of probability distributions with applications to erratic financial behavior},
  author={Nick James and Max Menzies},
  journal={Journal of Statistical Mechanics: Theory and Experiment},
  year={2021},
  volume={2021}
}
  • N. James, Max Menzies
  • Published 10 June 2021
  • Economics
  • Journal of Statistical Mechanics: Theory and Experiment
This paper introduces a new framework to quantify distance between finite sets with uncertainty present, where probability distributions determine the locations of individual elements. Combining this with a Bayesian change point detection algorithm, we produce a new measure of similarity between time series with respect to their structural breaks. First, we demonstrate the algorithm’s effectiveness on a collection of piecewise autoregressive processes. Next, we apply this to financial data to… 
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