A Cautionary Note on Model Choice and the Kullback-Leibler Information

被引：0

作者：

Heyde, C. C. ^{[1
,2
]}

Au, K. ^{[2
,3
]}

机构：

[1] Columbia Univ, Dept Stat, New York, NY 10027 USA

[2] Australian Natl Univ, Inst Math Sci, Canberra, ACT 0200, Australia

[3] Univ Melbourne, Dept Math, Melbourne, Vic 3010, Australia

来源：

JOURNAL OF STATISTICAL THEORY AND PRACTICE | 2008年 / 2卷 / 02期

关键词：

Discrimination; Entropy; Heavy-tailed; Statistical distance;

D O I：

10.1080/15598608.2008.10411872

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The Kullback-Leibler information has found application in many areas of statistical science. It typically arises in model choice and model dimension questions in a way which suggests its use as a distance. Indeed, it has been widely described as a distance although it comprehensively fails to be a metric. Some pitfalls in interpreting it as a distance are discussed and, in particular, its application to discriminate between prospective risky asset returns distributions.

引用

页码：221 / 232

页数：12

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