ANALYSIS AND APPLICATIONS OF THE RESIDUAL VARENTROPY OF RANDOM LIFETIMES
Antonio Di Crescenzo, Luca Paolillo
Abstract
Abstract Reliability theory and survival analysis, the residual entropy is known as a measure suitable to describe the dynamic information content in stochastic systems conditional on survival. Aiming to analyze the variability of such information content, in this paper we introduce the variance of the residual lifetimes, “residual varentropy” in short. After a theoretical investigation of some properties of the residual varentropy, we illustrate certain applications related to the proportional hazards model and the first-passage times of an Ornstein–Uhlenbeck jump-diffusion process.
Topics & Concepts
ResidualResidual entropyVariance (accounting)Entropy (arrow of time)Measure (data warehouse)Statistical physicsConditional entropyInformation theoryComputer scienceApplied mathematicsMathematicsStochastic processAlgorithmStatisticsJoint entropyMathematical optimizationTransfer entropyTotal variationStatistical Distribution Estimation and ApplicationsReliability and Maintenance OptimizationStatistical Mechanics and Entropy