Quantile-Based Reliability Aspects of Rényi’s Information Divergence Measure

Abstract

Discrimination measures play an important role in measuring the information distance between two distribution functions. Renyi’s information divergence of order $$\alpha $$ is a popular measure in this class. The present paper introduces a quantile-based definition to Renyi’s information divergence of order $$\alpha $$ and study its various properties in context of residual and past lifetime random variables.