Dynamic Information Volatility Function

Abstract

Liu (2007) discussed a new measure, known as the information volatility function to study the variability of the uncertainty contained in a probability distribution. In the present paper, we extend this concept to the residual random variable, a dynamic information volatility function and study its usefulness in reliability modelling. Different ageing and characterization properties of dynamic information volatility function are also derived.

Keywords

• shannon entropy
• information volatity
• reliability measures
• stochastic orders
• characterization