Cumulative residual Fisher information of a general k-th order autoregressive process


Omid Kharazmi, Narayanaswamy Balakrishnan




In this work, we consider cumulative residual Fisher information and Bayes-cumulative residual Fisher information for a general k-th order autoregressive and their corresponding stationary equilibrium distributions and develop some associated results. We establish several interesting connections between these measures and some known informational measures such as chi-square divergence, Gini's mean difference , cumulative residual Kullback-Leibler, Jeffreys and Jensen-cumulative residual entropy divergences.