Dispersion indices based on Kerridge inaccuracy and Kullback-Leibler divergence

TL;DR

This paper introduces new dispersion indices based on Kerridge inaccuracy and Kullback-Leibler divergence, providing theoretical properties, bounds, and an application using the mean-variance rule to measure information reliability.

Contribution

It presents novel dispersion measures for Kerridge inaccuracy and Kullback-Leibler divergence, expanding the tools for assessing information uncertainty.

Findings

New dispersion indices for Kerridge inaccuracy and Kullback-Leibler divergence

Theoretical properties, bounds, and examples provided

Application demonstrated using the mean-variance rule

Abstract

The concept of varentropy has been recently introduced as a dispersion index of the reliability of measure of information. In this paper, we introduce new measures of variability for two measures of uncertainty, the Kerridge inaccuracy measure and the Kullback-Leibler divergence. These new definitions and related properties, bounds and examples are presented. Finally we show an application of Kullback-Leibler divergence and its dispersion index using the mean-variance rule.