Information measures for generalized gamma family

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• 作者：Ali Dadpay ; Ehsan S. Soofi ; Refik Soyer
• 关键词：Entropy ; Exponential ; Gamma ; Kullback– ; Leibler information ; Model fitting ; Weibull
• 刊名：Journal of Econometrics
• 出版年：2007
• 出版时间：June 2007
• 年：2007
• 卷：138
• 期：2
• 页码：568-585
• 全文大小：259 K

文摘

The objective of this paper is to integrate the generalized gamma (GG) distribution into the information theoretic literature. We study information properties of the GG distribution and provide an assortment of information measures for the GG family, which includes the exponential, gamma, Weibull, and generalized normal distributions as its subfamilies. The measures include entropy representations of the log-likelihood ratio, AIC, and BIC, discriminating information between GG and its subfamilies, a minimum discriminating information function, power transformation information, and a maximum entropy index of fit to histogram. We provide the full parametric Bayesian inference for the discrimination information measures. We also provide Bayesian inference for the fit of GG model to histogram, using a semi-parametric Bayesian procedure, referred to as the maximum entropy Dirichlet (MED). The GG information measures are computed for duration of unemployment and duration of CEO tenure.