Extropy: complementary dual of entropy
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Publication:254407
DOI10.1214/14-STS430zbMATH Open1332.62027arXiv1109.6440OpenAlexW2140120821MaRDI QIDQ254407FDOQ254407
Authors: Frank Lad, Giuseppe Sanfilippo, Gianna Agrò 
Publication date: 8 March 2016
Published in: Statistical Science (Search for Journal in Brave)
Abstract: This article provides a completion to theories of information based on entropy, resolving a longstanding question in its axiomatization as proposed by Shannon and pursued by Jaynes. We show that Shannon's entropy function has a complementary dual function which we call "extropy." The entropy and the extropy of a binary distribution are identical. However, the measure bifurcates into a pair of distinct measures for any quantity that is not merely an event indicator. As with entropy, the maximum extropy distribution is also the uniform distribution, and both measures are invariant with respect to permutations of their mass functions. However, they behave quite differently in their assessments of the refinement of a distribution, the axiom which concerned Shannon and Jaynes. Their duality is specified via the relationship among the entropies and extropies of course and fine partitions. We also analyze the extropy function for densities, showing that relative extropy constitutes a dual to the Kullback-Leibler divergence, widely recognized as the continuous entropy measure. These results are unified within the general structure of Bregman divergences. In this context they identify half the metric as the extropic dual to the entropic directed distance. We describe a statistical application to the scoring of sequential forecast distributions which provoked the discovery.
Full work available at URL: https://arxiv.org/abs/1109.6440
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Kullback-Leibler divergenceBregman divergencedifferential and relative entropy/extropydualityGini index of heterogeneityproper scoring rulesrepeat rate
Statistical aspects of information-theoretic topics (62B10) Measures of information, entropy (94A17)
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