IDEAS home Printed from https://ideas.repec.org/p/gwu/wpaper/0012.html
   My bibliography  Save this paper

Bayes Estimate and Inference for Entropy and Information Index of Fit

Author

Listed:
  • Refik Soyer

    (The George Washington University School of Business)

  • Thomas A. Mazzuchi

    (George Washington University School of Engineering and Applied Science)

  • Ehsan S. Soofi

    (University of Wisconsin-Milwaukee)

Abstract

Kullback-Leibler information is widely used for developing indices of distributional fit. The most celebrated of such indices is Akaike’s AIC, which is derived as an estimate of the minimum Kullback-Leibler information between the unknown data-generating distribution and a parametric model. In the derivation of AIC, the entropy of the data-generating distribution is bypassed because it is free from the parameters. Consequently, the AIC type measures provide criteria for model comparison purposes only, and do not provide information diagnostic about the model fit. A nonparametric estimate of entropy of the data-generating distribution is needed for assessing the model fit. Several entropy estimates are available and have been used for frequentist inference about information fit indices. A few entropy-based fit indices have been suggested for Bayesian inference. This paper develops a class of entropy estimates and provides a procedure for Bayesian inference on the entropy and a fit index. For the continuous case, we define a quantized entropy that approximates and converges to the entropy integral. The quantized entropy includes some well known measures of sample entropy and the existing Bayes entropy estimates as its special cases. For inference about the fit, we use the candidate model as the expected distribution in the Dirichlet process prior and derive the posterior mean of the quantized entropy as the Bayes estimate. The maximum entropy characterization of the candidate model is then used to derive the prior and posterior distributions for the Kullback-Leibler information index of fit. The consistency of the proposed Bayes estimates for the entropy and for the information index are shown. As by-products, the procedure also produces priors and posteriors for the model parameters and the moments.

Suggested Citation

  • Refik Soyer & Thomas A. Mazzuchi & Ehsan S. Soofi, 2006. "Bayes Estimate and Inference for Entropy and Information Index of Fit," Working Papers 0012, School of Business, The George Washington University.
  • Handle: RePEc:gwu:wpaper:0012
    as

    Download full text from publisher

    File URL: http://www.gwu.edu/%7Ebusiness/research/workingpapers/Mazzuchi-Soofi-Soyer.pdf
    Download Restriction: no

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gwu:wpaper:0012. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (GW School of Business Communications). General contact details of provider: http://edirc.repec.org/data/sbpgwus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.