| Title | Information Volatility |
| Speaker | M. Rao University of Florida |
| Time | 3:00-4:00 p.m. |
| Place | ENG 4 |
| Sponsor | TBA |
Abstract
As is well known the Shannon Entropy H(X) of a random variable X is by definition -∫ f(x) log f(x) dx, which is the expectation of the random variable - log f(X). In this talk we study its variance, which we call its Information Volatility (or IV(X) for short). IV(X) has some very good properties not shared by Shannon Entropy. For example, IV(X) equaling zero characterizes the Uniform distribution; IV(X) is invariant under the affine transformation; and has some convergence properties.
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Last updated: 04-Jun-2007.
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