Generalized Measures of Divergence in Survival Analysis and Reliability

Abstract

Measures of divergence or discrepancy are used either to measure mutual information concerning two variables or to construct model selection criteria. In this paper we focus on divergence measures that are based on a class of measures known as Csiszár's divergence measures. In particular, we propose a measure of divergence between residual lives of two items that have both survived up to some time t as well as a measure of divergence between past lives, both based on Csiszár's class of measures. Furthermore, we derive properties of these measures and provide examples based on the Cox model and frailty or transformation model.