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Robust methods of estimation of regression coefficients 1
Authors:PJ Huber
Institution:Swiss Federal Institute of Technology , Zurich
Abstract:Recently, cumulative residual entropy (CRE) has been found to be a new measure of information that parallels Shannon's entropy (see Rao et al. Cumulative residual entropy: A new measure of information, IEEE Trans. Inform. Theory. 50(6) (2004), pp. 1220–1228] and Asadi and Zohrevand On the dynamic cumulative residual entropy, J. Stat. Plann. Inference 137 (2007), pp. 1931–1941]). Motivated by this finding, in this paper, we introduce a generalized measure of it, namely cumulative residual Renyi's entropy, and study its properties. We also examine it in relation to some applied problems such as weighted and equilibrium models. Finally, we extend this measure into the bivariate set-up and prove certain characterizing relationships to identify different bivariate lifetime models.
Keywords:cumulative residual entropy  Renyi's entropy  weighted distributions  characterization
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