Randentropy: a software to measure inequality in random systems

TL;DR

Randentropy is a software tool that measures inequality in complex random systems by combining Markov chain analysis, copula functions, and Monte Carlo simulations, with applications in finance and mobility.

Contribution

It introduces a novel software that integrates multiple statistical methods to quantify inequality in dependent random systems.

Findings

Effective estimation of inequality in simulated systems

Application potential in finance and human mobility

Combines Markov chains, copulas, and Monte Carlo methods

Abstract

The software Randentropy is designed to estimate inequality in a random system where several individuals interact moving among many communities and producing dependent random quantities of an attribute. The overall inequality is assessed by computing the Random Theil's Entropy. Firstly, the software estimates a piecewise homogeneous Markov chain by identifying the changing-points and the relative transition probability matrices. Secondly, it estimates the multivariate distribution function of the attribute using a copula function approach and finally, through a Monte Carlo algorithm, evaluates the expected value of the Random Theil's Entropy. Possible applications are discussed as related to the fields of finance and human mobility