Information, measure shifts and distribution metrics

被引:10
作者
Bowden, Roger J. [1 ,2 ]
机构
[1] Kiwicap Res Ltd, Wellington 6012, New Zealand
[2] Univ Ulm, Inst Finance, Fac Math & Econ, D-89069 Ulm, Germany
关键词
asymmetry and spread measures; distribution shifting; entropy bandwidth; entropy divergence; log odds; partition entropy;
D O I
10.1080/02331888.2010.508560
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Reflexive shifting of a given distribution, using its own distribution function, can reveal information. The shifts are changes in measure such that the separation of the resulting left and right unit shifted distributions reveals the binary entropy of position, called locational or partition entropy. This can be used for spread and asymmetry functions. Alternatively, summary metrics for distributional asymmetry and spread can be based on the relative strengths of left- and right-hand shifts. Such metrics are applicable even for long tail densities where distributional moments may not exist.
引用
收藏
页码:249 / 262
页数:14
相关论文
共 16 条
  • [1] [Anonymous], 1986, Probability and Measure
  • [2] [Anonymous], 1968, INFORM THEORY STAT
  • [3] Dynamic generalized information measures
    Asadi, M
    Ebrahimi, N
    Soofi, ES
    [J]. STATISTICS & PROBABILITY LETTERS, 2005, 71 (01) : 85 - 98
  • [4] Asardi M., 2006, ADV DISTRIBUTION THE
  • [5] Tailweight with respect to the mode for unimodal distributions
    Averous, J
    Fougeres, AL
    Meste, M
    [J]. STATISTICS & PROBABILITY LETTERS, 1996, 28 (04) : 367 - 373
  • [6] KURTOSIS AND SPREAD
    BALANDA, KP
    MACGILLIVRAY, HL
    [J]. CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 1990, 18 (01): : 17 - 30
  • [7] Concepts and measures for skewness with data-analytic implications
    Benjamini, Y
    Krieger, AM
    [J]. CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 1996, 24 (01): : 131 - 140
  • [8] Directional entropy and tail uncertainty, with applications to financial hazard
    Bowden, Roger J.
    [J]. QUANTITATIVE FINANCE, 2011, 11 (03) : 437 - 446
  • [9] Entropy-based measure of uncertainty in past lifetime distributions
    Di Crescenzo, A
    Longobardi, M
    [J]. JOURNAL OF APPLIED PROBABILITY, 2002, 39 (02) : 434 - 440
  • [10] Doksum K. A., 1975, Scandinavian Journal of Statistics Theory and Applications, V2, P11