INFOSET

Estimation of the most-left informative set of gross returns (i.e., the informative set). The procedure to compute the informative set adjusts the method proposed by Mariani et al. (2022a) doi:10.1007/s11205-020-02440-6 and Mariani et al. (2022b) doi:10.1007/s10287-022-00422-2 to gross returns of financial assets. This is accomplished through an adaptive algorithm that identifies sub-groups of gross returns in each iteration by approximating their distribution with a sequence of two-component log-normal mixtures. These sub-groups emerge when a significant change in the distribution occurs below the median of the financial returns, with their boundary termed as the “change point" of the mixture. The process concludes when no further change points are detected. The outcome encompasses parameters of the leftmost mixture distributions and change points of the analyzed financial time series.

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