IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v558y2020ics0378437120304970.html
   My bibliography  Save this article

Conditions for the existence of a generalization of Rényi divergence

Author

Listed:
  • Vigelis, Rui F.
  • de Andrade, Luiza H.F.
  • Cavalcante, Charles C.

Abstract

We give necessary and sufficient conditions for the existence of a generalization of Rényi divergence, which is defined in terms of a deformed exponential function. If the underlying measure μ is non-atomic, we found that not all deformed exponential functions can be used in the generalization of Rényi divergence; a condition involving the deformed exponential function is provided. In the case μ is purely atomic (the counting measure on the set of natural numbers), we show that any deformed exponential function can be used in the generalization.

Suggested Citation

  • Vigelis, Rui F. & de Andrade, Luiza H.F. & Cavalcante, Charles C., 2020. "Conditions for the existence of a generalization of Rényi divergence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
    • Handle: RePEc:eee:phsmap:v:558:y:2020:i:c:s0378437120304970
    DOI: 10.1016/j.physa.2020.124953
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437120304970
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2020.124953?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Naudts, Jan, 2002. "Deformed exponentials and logarithms in generalized thermostatistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 323-334.
    2. Rodrigues, Ana Flávia P. & Cavalcante, Charles C. & Crisóstomo, Vicente L., 2019. "A projection pricing model for non-Gaussian financial returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    3. Moretto, Enrico & Pasquali, Sara & Trivellato, Barbara, 2016. "Option pricing under deformed Gaussian distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 246-263.
    4. Ana Flávia P. Rodrigues & Igor M. Guerreiro & Charles Casimiro Cavalcante, 2018. "Deformed exponentials and portfolio selection," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 29(03), pages 1-17, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Rodrigues, Ana Flávia P. & Cavalcante, Charles C. & Crisóstomo, Vicente L., 2019. "A projection pricing model for non-Gaussian financial returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    2. Kalimeri, M. & Papadimitriou, C. & Balasis, G. & Eftaxias, K., 2008. "Dynamical complexity detection in pre-seismic emissions using nonadditive Tsallis entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1161-1172.
    3. Amari, Shun-ichi & Ohara, Atsumi & Matsuzoe, Hiroshi, 2012. "Geometry of deformed exponential families: Invariant, dually-flat and conformal geometries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(18), pages 4308-4319.
    4. Yoshioka, Hidekazu & Yoshioka, Yumi, 2024. "Generalized divergences for statistical evaluation of uncertainty in long-memory processes," Chaos, Solitons & Fractals, Elsevier, vol. 182(C).
    5. Naudts, Jan, 2004. "Generalized thermostatistics and mean-field theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 332(C), pages 279-300.
    6. Gzyl, Henryk & Mayoral, Silvia, 2016. "Determination of zero-coupon and spot rates from treasury data by maximum entropy methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 38-50.
    7. Naudts, Jan, 2004. "Generalized thermostatistics based on deformed exponential and logarithmic functions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 340(1), pages 32-40.
    8. Asgarani, Somayeh & Mirza, Behrouz, 2015. "Two-parameter entropies, Sk,r, and their dualities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 417(C), pages 185-192.
    9. Suyari, Hiroki, 2006. "Mathematical structures derived from the q-multinomial coefficient in Tsallis statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 368(1), pages 63-82.
    10. Amblard, Pierre-Olivier & Vignat, Christophe, 2006. "A note on bounded entropies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 365(1), pages 50-56.
    11. Cristina-Liliana Pripoae & Iulia-Elena Hirica & Gabriel-Teodor Pripoae & Vasile Preda, 2022. "Fisher-like Metrics Associated with ϕ -Deformed (Naudts) Entropies," Mathematics, MDPI, vol. 10(22), pages 1-26, November.
    12. Rosa, Wanderson & Weberszpil, José, 2018. "Dual conformable derivative: Definition, simple properties and perspectives for applications," Chaos, Solitons & Fractals, Elsevier, vol. 117(C), pages 137-141.
    13. Dagmar Markechová, 2018. "Tsallis Entropy of Fuzzy Dynamical Systems," Mathematics, MDPI, vol. 6(11), pages 1-19, November.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:558:y:2020:i:c:s0378437120304970. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.