tag:blogger.com,1999:blog-2198942534740642384.post8593474689562144689..comments2023-10-24T03:16:41.009-07:00Comments on Econometrics Beat: Dave Giles' Blog: Information and Entropy EconometricsDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger7125tag:blogger.com,1999:blog-2198942534740642384.post-58743293852475475702012-03-26T08:01:49.988-07:002012-03-26T08:01:49.988-07:00Entsophy - nice post! And I liked your Cauchy post...Entsophy - nice post! And I liked your Cauchy post too!Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-25522753101116292432012-03-26T05:16:15.646-07:002012-03-26T05:16:15.646-07:00Thank you for the pointer to the Information and E...Thank you for the pointer to the Information and Entropy Econometrics book. You might be interested in this post, which was a response to a musing from the Statistician Andrew Gelman about the use of “free energy” in economics. The connection might not be immediately obvious, but I'll just note that every distribution mentioned is actually a maximum entropy distribution.<br /><br />http://www.entsophy.net/blog/?p=50Entsophyhttp://www.entsophy.net/blog/noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-78084437843796473762011-12-24T15:12:13.315-08:002011-12-24T15:12:13.315-08:00Jed : The paper by Donoho et al. is REALLY interes...Jed : The paper by Donoho et al. is REALLY interesting. I've been playing around with some code and I love the results! Thanks for putting me on to this.Dave Gileshttp://davegiles.blogspot.comnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-1577437871616304432011-12-22T13:32:30.306-08:002011-12-22T13:32:30.306-08:00Jed: Thanks! I'll definitely take a look at th...Jed: Thanks! I'll definitely take a look at this.Dave Gileshttp://davegiles.blogspot.comnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-7702608277910387732011-12-22T12:01:18.273-08:002011-12-22T12:01:18.273-08:00This looks like maybe the most general introductor...This looks like maybe the most general introductory treatment of the recent work: http://arxiv.org/abs/0907.3574jedhttps://www.blogger.com/profile/11258416181053973027noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-81073293941658252242011-12-22T11:14:44.645-08:002011-12-22T11:14:44.645-08:00Jed: Very interesting comment. I'm not familia...Jed: Very interesting comment. I'm not familiar with this, and I'm certainly not aware of any applications to econometrics problems.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-72365999334650356872011-12-22T10:01:02.270-08:002011-12-22T10:01:02.270-08:00A very successful recent approach to noisy ill-pos...A very successful recent approach to noisy ill-posed inverse problems is maximizing sparsity (typically called compressive sensing, but this is mainly for historical reasons and is misleading). This work shares a theoretical framework, and methods, with optimal coding (e.g. turbo codes) and with inference in bayesian networks (loopy belief propagation). <br /><br />I think this work largely subsumes and goes beyond maximal entropy. <br /><br />Do you know of work in econometrics that uses this approach? I'd appreciate pointers.jedhttps://www.blogger.com/profile/11258416181053973027noreply@blogger.com