Dispersion indices based on Kerridge inaccuracy and Kullback-Leibler divergence

Francesco Buono, Camilla Cal\`i and Maria Longobardi

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Abstract: The concept of varentropy has been recently introduced as a dispersion index of the reliability of measure of information. In this paper, we introduce new measures of variability for two measures of uncertainty, the Kerridge inaccuracy measure and the Kullback-Leibler divergence. These new definitions and related properties, bounds and examples are presented. Finally we show an application of Kullback-Leibler divergence and its dispersion index using the mean-variance rule.

Date: 2021-06, Revised 2021-12
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2106.12292

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