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Randentropy: a software to measure inequality in random systems

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  • Guglielmo D'Amico
  • Stefania Scocchera
  • Loriano Storchi

Abstract

The software Randentropy is designed to estimate inequality in a random system where several individuals interact moving among many communities and producing dependent random quantities of an attribute. The overall inequality is assessed by computing the Random Theil's Entropy. Firstly, the software estimates a piecewise homogeneous Markov chain by identifying the changing-points and the relative transition probability matrices. Secondly, it estimates the multivariate distribution function of the attribute using a copula function approach and finally, through a Monte Carlo algorithm, evaluates the expected value of the Random Theil's Entropy. Possible applications are discussed as related to the fields of finance and human mobility

Suggested Citation

  • Guglielmo D'Amico & Stefania Scocchera & Loriano Storchi, 2021. "Randentropy: a software to measure inequality in random systems," Papers 2103.09107, arXiv.org.
    • Handle: RePEc:arx:papers:2103.09107
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    References listed on IDEAS

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    1. Guglielmo D’Amico & Filippo Petroni & Philippe Regnault & Stefania Scocchera & Loriano Storchi, 2019. "A Copula-based Markov Reward Approach to the Credit Spread in the European Union," Applied Mathematical Finance, Taylor & Francis Journals, vol. 26(4), pages 359-386, July.
    2. Guglielmo D'Amico & Filippo Petroni & Philippe Regnault & Stefania Scocchera & Loriano Storchi, 2019. "A copula based Markov Reward approach to the credit spread in European Union," Papers 1902.00691, arXiv.org.
    3. Jackson, Christopher, 2011. "Multi-State Models for Panel Data: The msm Package for R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 38(i08).
    4. Król, Agnieszka & Saint-Pierre, Philippe, 2015. "SemiMarkov: An R Package for Parametric Estimation in Multi-State Semi-Markov Models," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 66(i06).
    5. Ferguson, Nicole & Datta, Somnath & Brock, Guy, 2012. "msSurv: An R Package for Nonparametric Estimation of Multistate Models," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 50(i14).
    6. D'Amico, Guglielmo & Di Biase, Giuseppe & Manca, Raimondo, 2012. "Income inequality dynamic measurement of Markov models: Application to some European countries," Economic Modelling, Elsevier, vol. 29(5), pages 1598-1602.
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