ANALYSIS AND APPLICATIONS OF THE RESIDUAL VARENTROPY OF RANDOM LIFETIMES

被引：18
|
作者：
Di Crescenzo, Antonio [1 ]
Paolillo, Luca [1 ]
机构：
[1] Univ Salerno, Dipartimento Matemat, Via Giovanni Paolo II 132, I-84084 Fisciano, SA, Italy
来源：
PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES | 2021年 / 35卷 / 03期
关键词：
applied probability; queueing theory; reliability theory; stochastic modelling; DISTRIBUTIONS; ENTROPY; INEQUALITIES; INFORMATION; TIME;
D O I：
10.1017/S0269964820000133
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
Reliability theory and survival analysis, the residual entropy is known as a measure suitable to describe the dynamic information content in stochastic systems conditional on survival. Aiming to analyze the variability of such information content, in this paper we introduce the variance of the residual lifetimes, "residual varentropy" in short. After a theoretical investigation of some properties of the residual varentropy, we illustrate certain applications related to the proportional hazards model and the first-passage times of an Ornstein-Uhlenbeck jump-diffusion process.
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页码：680 / 698
页数：19
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