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Dynamic Information Volatility Function

Author

Listed:
  • Rajesh Ganapathi

    (Cochin University of Science and Technology)

  • Sreenarayanapurath Madhavan Sunoj

    (Cochin University of Science and Technology)

  • Paduthol Godan Sankaran

    (Cochin University of Science and Technology)

Abstract

Liu (2007) discussed a new measure, known as the information volatility function to study the variability of the uncertainty contained in a probability distribution. In the present paper, we extend this concept to the residual random variable, a dynamic information volatility function and study its usefulness in reliability modelling. Different ageing and characterization properties of dynamic information volatility function are also derived.

Suggested Citation

  • Rajesh Ganapathi & Sreenarayanapurath Madhavan Sunoj & Paduthol Godan Sankaran, 2020. "Dynamic Information Volatility Function," Statistica, Department of Statistics, University of Bologna, vol. 80(3), pages 233-243.
    • Handle: RePEc:bot:rivsta:v:80:y:2020:i:3:p:233-243
    as

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