Dynamic Information Volatility Function

Rajesh Ganapathi, Sreenarayanapurath Madhavan Sunoj () and Paduthol Godan Sankaran
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Rajesh Ganapathi: Cochin University of Science and Technology
Sreenarayanapurath Madhavan Sunoj: Cochin University of Science and Technology
Paduthol Godan Sankaran: Cochin University of Science and Technology

Statistica, 2020, vol. 80, issue 3, 233-243

Abstract: Liu (2007) discussed a new measure, known as the information volatility function to study the variability of the uncertainty contained in a probability distribution. In the present paper, we extend this concept to the residual random variable, a dynamic information volatility function and study its usefulness in reliability modelling. Different ageing and characterization properties of dynamic information volatility function are also derived.

Keywords: Shannon entropy; Information volatity; Reliability measures; Stochastic orders; Characterization (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:bot:rivsta:v:80:y:2020:i:3:p:233-243

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