Newton, Nigel J (2012) An infinite-dimensional statistical manifold modelled on Hilbert space. Journal of Functional Analysis, 263 (6). pp. 1661-1681. DOI https://doi.org/10.1016/j.jfa.2012.06.007
Newton, Nigel J (2012) An infinite-dimensional statistical manifold modelled on Hilbert space. Journal of Functional Analysis, 263 (6). pp. 1661-1681. DOI https://doi.org/10.1016/j.jfa.2012.06.007
Newton, Nigel J (2012) An infinite-dimensional statistical manifold modelled on Hilbert space. Journal of Functional Analysis, 263 (6). pp. 1661-1681. DOI https://doi.org/10.1016/j.jfa.2012.06.007
Abstract
We construct an infinite-dimensional Hilbert manifold of probability measures on an abstract measurable space. The manifold, M, retains the first- and second-order features of finite-dimensional information geometry: the α-divergences admit first derivatives and mixed second derivatives, enabling the definition of the Fisher metric as a pseudo-Riemannian metric. This is enough for many applications; for example, it justifies certain projections of Markov processes onto finite-dimensional submanifolds in recursive estimation problems. M was constructed with the Fenchel-Legendre transform between Kullback-Leibler divergences, and its role in Bayesian estimation, in mind. This transform retains, on M, the symmetry of the finite-dimensional case. Many of the manifolds of finite-dimensional information geometry are shown to be C ∞-embedded submanifolds of M. In establishing this, we provide a framework in which many of the formal results of the finite-dimensional subject can be proved with full rigour. © 2012 Elsevier Inc.
Item Type: | Article |
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Uncontrolled Keywords: | Bayesian estimation; Fenchel-Legendre transform; Fisher metric; Hilbert manifold; Information geometry; Information theory |
Subjects: | Q Science > QA Mathematics Q Science > QA Mathematics > QA75 Electronic computers. Computer science Q Science > QC Physics |
Divisions: | Faculty of Science and Health Faculty of Science and Health > Computer Science and Electronic Engineering, School of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 05 Mar 2013 16:31 |
Last Modified: | 30 Oct 2024 20:00 |
URI: | http://repository.essex.ac.uk/id/eprint/5538 |