Colloquia — Summer 2007
Thursday, June 7, 2007
| 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.