Mutual Information

jslade · Post by **jslade** » Mon Sep 19, 2011 8:54 pm

Cover's book makes me feel very smart, and is insanely easy to read. I literally read the whole thing on a couple of holiday plane flights and brief periods of boredom. The couple of problems I worked through were interesting and illustrative.

On the downside, it's not the type of thing where you can look for cookbook answers to questions like, "what happens to MI when the TS is autocorrelated." Only a few books are like this, so it's probably of a weak complaint.

As for your specific question: I don't remember, and the book is rather far away at present. I think all the examples assume IID.

I first started reading a fileshare version; it's out there. The text was worth the dough for me.

dgn2 · Post by **dgn2** » Mon Sep 19, 2011 9:04 pm

I haven't been able to find much closed form stuff for Kelly-like betting on dependent processes (beyond OU / AR), but it is pretty easy to get numerical answers using Monte Carlo (which is what I do).

dgn2 · Post by **dgn2** » Mon Sep 19, 2011 9:19 pm

Nonius, if you update your email address I will send you something.

Steve Castle · Post by **Steve Castle** » Mon Sep 19, 2011 9:40 pm

I'm barely understanding you all. What Dupire are you talking about?

Optimal Process Approximation:

Application to Delta Hedging and Technical Analysis ?

[edit]

I figured this out for myself using google and the search function. It totally works.

[/edit]

Nonius · Post by **Nonius** » Mon Sep 19, 2011 11:57 pm

Ok dgn2, thanks. I'll have to create a new mail to post.