C. Koukoumis
Lab of Statistics and Data Analysis, Department of Statistics and Actuarial-Financial Mathematics, University of the Aegean, Samos, Greece.

A. Karagrigoriou
Lab of Statistics and Data Analysis, Department of Statistics and Actuarial-Financial Mathematics, University of the Aegean, Samos, Greece.

DOI https://doi.org/10.33889/IJMEMS.2021.6.3.043

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Abstract

In this work we review Entropy-type measures and Divergences, discuss their properties and unfold their diverse applicability. In addition, we compare distances between populations and distributions via weighted Entropy-type measures relying mainly on Relative Entropy and Jeffrey’s Distance with weights. Finally, we introduce the Absolute Weighted Relative Entropy and the Absolute Weighted Jeffrey’s Distance. Two applications are presented for illustration, one from Geosciences and one from Financial Mathematics.

Keywords- Entropy, Divergence measures, Weighted Entropy-type measures, Absolute Entropy-type measures, Financial mathematics.

Citation

Koukoumis, C., & Karagrigoriou, A. (2021). On Entropy-type Measures and Divergences with Applications in Engineering, Management and Applied Sciences. International Journal of Mathematical, Engineering and Management Sciences, 6(3), 688-707. https://doi.org/10.33889/IJMEMS.2021.6.3.043.