Generalized divergences from generalized entropies

Leonardo E. Riveaud, Diego Mateos, Steeve Zozor and Pedro W. Lamberti

Physica A: Statistical Mechanics and its Applications, 2018, vol. 510, issue C, 68-76

Abstract: Several quantifiers of information, also known as entropies, have been introduced in different contexts and from different motivations. For almost each one of these entropies, a measure of the loss (or gain) of information has been introduced. In this work we introduce generalized weighted divergences associated with an arbitrary entropy. The resulting measures are closely related to Bregman divergences. We study the main formal properties of the resulting divergences, we extend them to weighted probability distributions and we apply some of them to the analysis of simulated and real time series.

Keywords: Divergences; Information theory; Time series (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:510:y:2018:i:c:p:68-76

DOI: 10.1016/j.physa.2018.06.111

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