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ANALYSIS AND APPLICATIONS OF THE RESIDUAL VARENTROPY OF RANDOM LIFETIMES

Published online by Cambridge University Press:  18 March 2020

Antonio Di Crescenzo Open the ORCID record for Antonio Di Crescenzo [Opens in a new window]  and
Luca Paolillo
Antonio Di Crescenzo
Affiliation:
Dipartimento di Matematica, Università degli Studi di Salerno, Via Giovanni Paolo II n. 132, I-84084 Fisciano (SA), Italy E-mail: adicrescenzo@unisa.it
Luca Paolillo
Affiliation:
Dipartimento di Matematica, Università degli Studi di Salerno, Via Giovanni Paolo II n. 132, I-84084 Fisciano (SA), Italy E-mail: adicrescenzo@unisa.it
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Abstract

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Reliability theory and survival analysis, the residual entropy is known as a measure suitable to describe the dynamic information content in stochastic systems conditional on survival. Aiming to analyze the variability of such information content, in this paper we introduce the variance of the residual lifetimes, “residual varentropy” in short. After a theoretical investigation of some properties of the residual varentropy, we illustrate certain applications related to the proportional hazards model and the first-passage times of an Ornstein–Uhlenbeck jump-diffusion process.

Keywords

applied probabilityqueueing theoryreliability theorystochastic modelling
Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 35 , Issue 3 , July 2021 , pp. 680 - 698
Creative Commons
Creative Common License - CCCreative Common License - BY
This is an Open Access article, distributed under the terms of the Creative Commons Attribution licence (https://creativecommons.org/licenses/by/4.0/), which permits unrestricted re-use, distribution, and reproduction in any medium, provided the original work is properly cited.
Copyright
© The Author(s), 2020. Published by Cambridge University Press.

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