On cumulative residual Kullback-Leibler information

Sangun Park, Murali Rao, Dong Wan Shin

Research output: Contribution to journalArticle

30 Citations (Scopus)

Abstract

Some extensions of entropy and KL information to the survival function have been recently proposed. We first compare some extensions of KL information and provide a criterion in choosing one among those extensions. Then we study moment constraints for maximum cumulative residual entropy distribution(Rao etal., 2004) in view of the relation between the cumulative residual entropy difference and cumulative residual Kullback-Leibler (KL) information. We further discuss the estimation methods and suggest a weighted cumulative residual entropy. Finally, we discuss the application of the estimated cumulative residual KL information as a goodness of fit test statistic with numerical examples.

Original languageEnglish
Pages (from-to)2025-2032
Number of pages8
JournalStatistics and Probability Letters
Volume82
Issue number11
DOIs
Publication statusPublished - 2012 Nov 1

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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