Kullback–Leibler divergence: A quantile approach

P.G. Sankaran, S.M. Sunoj and N. Unnikrishnan Nair

Statistics & Probability Letters, 2016, vol. 111, issue C, 72-79

Abstract: Divergence measures play an important role in measuring the distance between two probability distribution functions. Kullback–Leibler divergence function is a popular measure in this class. The present paper introduces a quantile based definition of the Kullback–Leibler divergence and study its properties in the context of lifetime data analysis. We also propose the quantile versions of Kullback–Leibler divergence for residual and past lifetime random variables.

Keywords: Kullback–Leibler divergence measure; Kerridge’s inaccuracy measure; Quantile function; Residual lifetime distributions; Past lifetime distributions (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spl.2016.01.007

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