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1 results

  • Minimum dynamic discrimination information models

  • Part of
  • Majid Asadi, Nader Ebrahimi, G. G. Hamedani, Ehsan S. Soofi
  • Journal:
    Journal of Applied Probability / Volume 42 / Issue 3 / September 2005
    Published online by Cambridge University Press:
    14 July 2016, pp. 643-660
    Print publication:
    September 2005
    • Article
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  • In this paper, we introduce the minimum dynamic discrimination information (MDDI) approach to probability modeling. The MDDI model relative to a given distribution G is that which has least Kullback-Leibler information discrepancy relative to G, among all distributions satisfying some information constraints given in terms of residual moment inequalities, residual moment growth inequalities, or hazard rate growth inequalities. Our results lead to MDDI characterizations of many well-known lifetime models and to the development of some new models. Dynamic information constraints that characterize these models are tabulated. A result for characterizing distributions based on dynamic Rényi information divergence is also given.