Dispersion indices based on Kerridge inaccuracy and Kullback-Leibler divergence
Probability
2021-12-16 v2 Statistics Theory
Portfolio Management
Statistics Theory
Abstract
The concept of varentropy has been recently introduced as a dispersion index of the reliability of measure of information. In this paper, we introduce new measures of variability for two measures of uncertainty, the Kerridge inaccuracy measure and the Kullback-Leibler divergence. These new definitions and related properties, bounds and examples are presented. Finally we show an application of Kullback-Leibler divergence and its dispersion index using the mean-variance rule.
Keywords
Cite
@article{arxiv.2106.12292,
title = {Dispersion indices based on Kerridge inaccuracy and Kullback-Leibler divergence},
author = {Francesco Buono and Camilla Calì and Maria Longobardi},
journal= {arXiv preprint arXiv:2106.12292},
year = {2021}
}