Soyer, Refik; Mazzuchi, Thomas A.; Soofi, Ehsan S. - School of Business, George Washington University - 2006
Kullback-Leibler information is widely used for developing indices of distributional fit. The most celebrated of such indices is Akaike’s AIC, which is derived as an estimate of the minimum Kullback-Leibler information between the unknown data-generating distribution and a parametric model. In...