Entropy, divergence and distance measures with econometric applications (Q1909375)

The plan of the paper is as follows. In Section 2 we provide the definitions and concepts related to distance and the general class of entropy measures. Some statistical results based on the \(\beta\)-class entropy are also analysed. Then, in Section 3, we present various classes of directed and non-directional divergence measures and indicate those non-directional divergence measures which are also distance measures. Some econometric results based on the \(\beta\)-class divergence measures are also analysed. In Section 4 we present the entropy based optimizing principles and explore their applications in the estimation and hypothesis testing problems. Finally, in Section 5 we review other applications and present our conclusions.