[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.5351/CKSS.2009.16.5.813

A View on Extension of Utility-Based on Links with Information Measures

Hoseinzadeh, A.R. (Science and Research Branch, Islamic Azad University)
Borzadaran, G.R.Mohtashami (Department of Statistics, Ferdowsi University of Mashhad)
Yari, G.H. (Iran University of Science and Technology)

Publication Information

Communications for Statistical Applications and Methods / v.16, no.5, 2009 , pp. 813-820 More about this Journal

Abstract

In this paper, we review the utility-based generalization of the Shannon entropy and Kullback-Leibler information measure as the U-entropy and the U-relative entropy that was introduced by Friedman et al. (2007). Then, we derive some relations between the U-relative entropy and other information measures based on a parametric family of utility functions.

Keywords

Shannon entropy; Kullback-Leibler information measure; utility function; expected utility maximization; U-entropy; U-relative entropy;

Citations & Related Records

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