Asymptotic form of the Kullback-Leibler divergence for multivariate asymmetric heavy-tailed distributions

DOI10.1016/j.physa.2013.10.035zbMath1395.62008OpenAlexW2076024899MaRDI QIDQ1782548

Javier E. Contreras-Reyes

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2013.10.035

zbMATH Keywords

heavy tailsKullback-Leibler divergenceskewnessskew-\(t\)skew-normal

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistical aspects of information-theoretic topics (62B10)

Related Items (6)

Rényi entropy and complexity measure for skew-Gaussian distributions and related families ⋮ Generalized cross entropy method for estimating joint distribution from incomplete information ⋮ Chaotic systems with asymmetric heavy-tailed noise: application to 3D attractors ⋮ Extropy based on records for random variables representing residual life ⋮ Quadratic extrapolation for accelerating convergence of the EM fixed point problem ⋮ Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions

Uses Software

• R
• QUADPACK
• skewtools

Cites Work

• A Mathematical Theory of Communication
• Kullback-Leibler divergence measure for multivariate skew-normal distributions
• Moments of random vectors with skew \(t\) distribution and their quadratic forms.
• Expressions for Rényi and Shannon entropies for multivariate distributions
• On maximum entropy characterization of Pearson's type II and VII multivariate distributions
• On fundamental skew distributions
• On the infinite divisibility of some skewed symmetric distributions
• Perturbation of Numerical Confidential Data via Skew-t Distributions
• Statistical Applications of the Multivariate Skew Normal Distribution
• The multivariate skew-normal distribution
• Multivariate skewt-distribution
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Shannon Entropy and Mutual Information for Multivariate Skew‐Elliptical Distributions
• Information Theoretic Proofs of Entropy Power Inequalities
• On Information and Sufficiency
• A general class of multivariate skew-elliptical distributions
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