Details
| Original language | English |
|---|---|
| Title of host publication | Econometrics for Financial Applications |
| Publisher | Springer Verlag |
| Pages | 266-275 |
| Number of pages | 10 |
| Publication status | Published - 20 Dec 2017 |
Publication series
| Name | Studies in Computational Intelligence |
|---|---|
| Volume | 760 |
| ISSN (Print) | 1860-949X |
Abstract
In this paper, we show that empirical successes of Student distribution and of Matern’s covariance models can be indirectly explained by a natural requirement of scale invariance – that fundamental laws should not depend on the choice of physical units. Namely, while neither the Student distributions nor Matern’s covariance models are themselves scale-invariant, they are the only one which can be obtained by applying a scale-invariant combination function to scale-invariant functions.
ASJC Scopus subject areas
- Computer Science(all)
- Artificial Intelligence
Cite this
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Econometrics for Financial Applications. Springer Verlag, 2017. p. 266-275 (Studies in Computational Intelligence; Vol. 760).
Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research › peer review
}
TY - CHAP
T1 - Why student distributions? Why matern’s covariance model? a symmetry-based explanation
AU - Schön, Stephen
AU - Kermarrec, Gael
AU - Kargoll, Boris
AU - Neumann, Ingo
AU - Kosheleva, Olga
AU - Kreinovich, Vladik
N1 - Funding information: Acknowledgments. This work was performed when Olga Kosheleva and Vladik Kreinovich were visiting researchers with the Geodetic Institute of the Leibniz University of Hannover, a visit supported by the German Science Foundation. This work was also supported in part by NSF grant HRD-1242122.
PY - 2017/12/20
Y1 - 2017/12/20
N2 - In this paper, we show that empirical successes of Student distribution and of Matern’s covariance models can be indirectly explained by a natural requirement of scale invariance – that fundamental laws should not depend on the choice of physical units. Namely, while neither the Student distributions nor Matern’s covariance models are themselves scale-invariant, they are the only one which can be obtained by applying a scale-invariant combination function to scale-invariant functions.
AB - In this paper, we show that empirical successes of Student distribution and of Matern’s covariance models can be indirectly explained by a natural requirement of scale invariance – that fundamental laws should not depend on the choice of physical units. Namely, while neither the Student distributions nor Matern’s covariance models are themselves scale-invariant, they are the only one which can be obtained by applying a scale-invariant combination function to scale-invariant functions.
UR - http://www.scopus.com/inward/record.url?scp=85038850900&partnerID=8YFLogxK
U2 - 10.1007/978-3-319-73150-6_21
DO - 10.1007/978-3-319-73150-6_21
M3 - Contribution to book/anthology
AN - SCOPUS:85038850900
T3 - Studies in Computational Intelligence
SP - 266
EP - 275
BT - Econometrics for Financial Applications
PB - Springer Verlag
ER -