On-line estimation of dynamic shock-error models based on the Kullback Leibler information measure

1994 ◽  
Vol 39 (5) ◽  
pp. 1129-1135 ◽  
Author(s):  
V. Krishnamurthy
Keyword(s):  
Information Measure ◽  
Error Models ◽  
On Line ◽  
Leibler Information

scholarly journals Information Measure in Terms of the Hazard Function and Its Estimate

Entropy ◽  
2021 ◽  
Vol 23 (3) ◽  
pp. 298
Author(s):  
Sangun Park
Keyword(s):  
Fisher Information ◽  
Hazard Function ◽  
Information Measure ◽  
Test Statistic ◽  
Information Measures ◽  
Leibler Information ◽  
Anderson Darling

It is well-known that some information measures, including Fisher information and entropy, can be represented in terms of the hazard function. In this paper, we provide the representations of more information measures, including quantal Fisher information and quantal Kullback-leibler information, in terms of the hazard function and reverse hazard function. We provide some estimators of the quantal KL information, which include the Anderson-Darling test statistic, and compare their performances.

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