Generalized Kerridge’s inaccuracy measure for conditionally specified models

ABSTRACT

Recently, conditional Renyi’s divergence of order α and Kerridge’s inaccuracy measures are studied by Navarro et al. (2014). In the present article, a generalized dynamic conditional Kerridge’s inaccuracy measure is introduced, which can be represented as the sum of conditional Renyi’s divergence and Renyi’s entropy. Some useful bounds are obtained using the concept of likelihood ratio order. The results are extended to weighted distributions. Sufficient conditions are obtained for the monotonicity of the proposed measure. Characterizations for bivariate exponential conditional distribution are presented based on the proposed measure.

KEYWORDS:

• Conditionally specified model
• Generalized conditional dynamic inaccuracy measure
• Likelihood ratio order
• Proportional hazard rate
• Weighted model.

MATHEMATICS SUBJECT CLASSIFICATION:

• 94A17
• 62N05

Acknowledgments

The authors would like to thank the editor, associate editor, and the two referees for careful reading and for their comments which greatly improved the article.