Dispersion indices based on Kerridge inaccuracy measure and Kullback-Leibler divergence

Narayanaswamy Balakrishnan, Francesco Buono, Camilla Calì and Maria Longobardi

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 15, 5574-5592

Abstract: Recently, a new dispersion index, as a measures of information, has been introduced and called varentropy. In this article, we introduce new measures of variability based on two measures of uncertainty, namely, the Kerridge inaccuracy measure and the Kullback-Leibler divergence. Their generating functions are considered and their infinite series representations are given. These new measures and associated properties, bounds and illustrative examples are all presented in detail. Finally, an application of Kullback-Leibler divergence and its dispersion index is illustrated by using the mean-variance rule.

Date: 2024
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DOI: 10.1080/03610926.2023.2222926

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