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math.ST2025
Information geometry of Lévy processes and financial models
Jaehyung Choi
We develop the information geometry of Lévy processes. The -divergence is derived directly in terms of the Lévy triplets, and the corresponding Fisher information matrix and …
math.ST2014★ 2 cited
Geometric shrinkage priors for Kählerian signal filters
Jaehyung Choi, Andrew P. Mullhaupt
We construct geometric shrinkage priors for Kählerian signal filters. Based on the characteristics of Kähler manifolds, an efficient and robust algorithm for finding superharmonic…