Probability Link Models with Symmetric Information Divergence

TL;DR

This paper develops symmetric divergence-based link functions for probability distributions, enhancing model assessment and averaging in survival analysis and reliability modeling with improved computational efficiency.

Contribution

Introduces two classes of link models that produce symmetric divergences for probability distributions, applicable to survival functions and cumulative distribution functions, with practical advantages.

Findings

Symmetric divergence measures provide unique model rankings.

Model averaging with symmetric divergences requires half the computation.

Generalized models include probit, logit, Laplace, and Student-t distributions.

Abstract

This paper introduces link functions for transforming one probability distribution to another such that the Kullback-Leibler and R\'enyi divergences between the two distributions are symmetric. Two general classes of link models are proposed. The first model links two survival functions and is applicable to models such as the proportional odds and change point, which are used in survival analysis and reliability modeling. A prototype application involving the proportional odds model demonstrates advantages of symmetric divergence measures over asymmetric measures for assessing the efficacy of features and for model averaging purposes. The advantages include providing unique ranks for models and unique information weights for model averaging with one-half as much computation requirement of asymmetric divergences. The second model links two cumulative probability distribution functions. This model produces a generalized location model which are continuous counterparts of the binary probability models such as probit and logit models. Examples include the generalized probit and logit models which have appeared in the survival analysis literature, and a generalized Laplace model and a generalized Student-$t$ model, which are survival time models corresponding to the respective binary probability models. Lastly, extensions to symmetric divergence between survival functions and conditions for copula dependence information are presented.