Abstract
Di Crescenzo and Longobardi [Di Crescenzo and Longobardi, On cumulative entropies, J. Statist. Plann. Inference 139 2009, 12, 4072–4087] proposed the cumulative entropy (CE) as an alternative to the differential entropy. They presented an estimator of CE using empirical approach. In this paper, we consider a risk measure based on CE and compare it with the standard deviation and the Gini mean difference for some distributions. We also make empirical comparisons of these measures using samples from stock market in members of the Organization for Economic Co-operation and Development (OECD) countries.
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Articles in the same Issue
- Frontmatter
- Notes on Cumulative Entropy as a Risk Measure
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Articles in the same Issue
- Frontmatter
- Notes on Cumulative Entropy as a Risk Measure
- Comparing Short and Long-Memory Charts to Monitor the Traffic Intensity of Single Server Queues
- Optimal Control of a Dispatchable Energy Source for Wind Energy Management
- Bounded M-O Extended Exponential Distribution with Applications
- On Some Characterizations of the Levy Distribution