Objective Bayesian Estimation for the Differential Entropy Measure Under Generalized Half-Normal Distribution

The evaluation of the information entropy content in the data analysis is an effective role in the assessment of fatigue damage. Due to the connection between the generalized half-normal distribution and fatigue extension, the objective inference for the differential entropy of the generalized half-normal distribution is considered in this paper. The Bayesian estimates and associated credible intervals are discussed based on different non-informative priors including Jeffery, reference, probability matching, and maximal data information priors for the differential entropy measure. The Metropolis–Hastings samplers data sets are used to estimate the posterior densities and then compute the Bayesian estimates. For comparison purposes, the maximum likelihood estimators and asymptotic confidence intervals of the differential entropy are derived. An intensive simulation study is conducted to evaluate the performance of the proposed statistical inference methods. Two real data sets are analyzed by the proposed methodology for illustrative purposes as well. Finally, non-informative priors for the original parameters of generalized half-normal distribution based on the direct and transformation of the entropy measure are also proposed and compared.