Article

Title: Characterizations of Proportional Hazard and Reversed Hazard Rate Models Based on Symmetric and Asymmetric Kullback-Leibler Divergences

Author(s): Ghobad Barmalzan, Hadi Saboori and Narayanaswamy Balakrishnan
Issue: Volume 81 Series B Part 1 Year 2019
Pages: 26 -- 38
Abstract
Kullback-Leibler divergence (KL) is widely used for selecting the best model from a given set of candidate parametrized probabilistic models as an approximation to the true density function h(·). In this paper, we obtain a necessary and sufficient condition to determine proportional hazard and reversed hazard rate models based on symmetric and asymmetric Kullback- Leibler divergences. Obtained results show that if h belongs to proportional hazard rate (reversed hazard) model, then the Kullback-Leibler divergence between h and baseline density function, f0, is independent of the choice of ξ, the cut point of left (right) truncated distribution
Primary 62E10; Secondary 62F30
Keywords and phrases: Symmetric Kullback-Leibler divergence, Asymmetric Kullback-Leibler divergence, Proportional hazard rate model, Proportional reversed hazard rate model.