Model Selection of Stochastic Simulation Algorithm Based on Generalized Divergence Measures

On Measures of Information and Divergence and Model Selection Criteria

1: In this paper we discuss measures of information and divergence and model selection criteria. Three classes of measures, Fisher-type, divergencetype and entropy-type measures, are discussed and their properties are presented. Information through censoring and truncation is presented and model selection criteria are investigated including the Akaike Information Criterion (AIC) and the Diverge...

mortality forecasting based on lee-carter model

over the past decades a number of approaches have been applied for forecasting mortality. in 1992, a new method for long-run forecast of the level and age pattern of mortality was published by lee and carter. this method was welcomed by many authors so it was extended through a wider class of generalized, parametric and nonlinear model. this model represents one of the most influential recent d...

Divergence measures based on Tinfinity

Simulation of Coherent Risk Measures Based on Generalized Scenarios

I financial risk management, coherent risk measures have been proposed as a way to avoid undesirable properties of measures such as value at risk that discourage diversification and do not account for the magnitude of the largest, and therefore most serious, losses. A coherent risk measure equals the maximum expected loss under several different probability measures, and these measures are anal...

Generalized Measures of Divergence for Lifetime Distributions

Measures of divergence or discrepancy are used either to measure mutual information concerning two variables or to construct model selection criteria. In this paper we are focusing on divergence measures that are based on a class of measures known as Csiszar’s divergence measures. In particular, we propose a measure of divergence between residual lives of two items that have both survived up to...