Analysis and applications of the residual varentropy of random lifetimes
arXiv:2003.04932 · doi:10.1017/S0269964820000133
Abstract
In 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.
arXiv comment20 pages, 9 figures, to appear on "Probability in the Engineering and Informational Sciences"
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