A Utility-Based Approach to Some Information Measures

A Utility-Based Approach to Some Information Measures

We review a decision theoretic, i.e., utility-based, motivation for entropy and Kullback-Leibler relative entropy, the natural generalizations that follow, and various properties of thesegeneralized quantities. We then consider these generalized quantities in an easily interpreted spe-cial case. We...

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Bibliographic Details
Main Authors: Sven Sandow, Jinggang Huang, Craig Friedman
Format: Article
Language:English
Published: MDPI AG 2007-01-01
Series:Entropy
Subjects:
Generalized Entropy
Generalized Kullback-Leibler Relative Entropy
Decision The- ory
Expected Utility
Horse Race
Tsallis Entropy
Statistical Learning
Probability Estimation
Risk Neutral Pricing Measure
Online Access:http://www.mdpi.com/1099-4300/9/1/1/

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