Conflations of probability distributions

DOI10.1090/S0002-9947-2011-05340-7MaRDI QIDQ3004376zbMATH OpenOpenAlexFDO

Authors Theodore P. Hill

Publication date 1 June 2011

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0808.1808

zbMATH Keywords

conflation of probability distributionsconvolution theoremestimatorsGauss-Markov theoremproduct of probability density functionsShannon information

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Statistical aspects of information-theoretic topics (62B10) Characterization and structure theory of statistical distributions (62E10) Applications of statistics in engineering and industry; control charts (62P30) Applications of statistics to physics (62P35) Measures of information, entropy (94A17)

Abstract: The conflation of a finite number of probability distributions P_1,..., P_n is a consolidation of those distributions into a single probability distribution Q=Q(P_1,..., P_n), where intuitively Q is the conditional distribution of independent random variables X_1,..., X_n with distributions P_1,..., P_n, respectively, given that X_1= ... =X_n. Thus, in large classes of distributions the conflation is the distribution determined by the normalized product of the probability density or probability mass functions. Q is shown to be the unique probability distribution that minimizes the loss of Shannon Information in consolidating the combined information from P_1,..., P_n into a single distribution Q, and also to be the optimal consolidation of the distributions with respect to two minimax likelihood-ratio criteria. When P_1,..., P_n are Gaussian, Q is Gaussian with mean the classical weighted-mean-squares reciprocal of variances. A version of the classical convolution theorem holds for conflations of a large class of a.c. measures.

Recommendations

• CONFLUENT POSSIBILITY DISTRIBUTIONS AND THEIR REPRESENTATIONS
• Fusions of a probability distribution
• Conjugacy of probability distributions in statistical problems
• Mixtures of probability distributions
• scientific article; zbMATH DE number 3992515
• scientific article; zbMATH DE number 1245640
• scientific article; zbMATH DE number 4145014

Cites work

• A Generalization of Lyapounov's Convexity Theorem to Measures with Atoms
• CODATA recommended values of the fundamental physical constants: 1998
• Combining probability distributions: A critique and an annotated bibliography
• Hilbert space of probability density functions based on Aitchison geometry
• scientific article; zbMATH DE number 3772748 (Why is no real title available?)
• scientific article; zbMATH DE number 1561817 (Why is no real title available?)
• scientific article; zbMATH DE number 3240629 (Why is no real title available?)
• scientific article; zbMATH DE number 3039539 (Why is no real title available?)
• Linear Models in Statistics

Cited in

(8)

• Fusions of a probability distribution
• Vincentization revisited
• A posteriori integration of probabilities. Elementary theory
• scientific article; zbMATH DE number 4216853 (Why is no real title available?)
• Combining probability distributions by multiplication in metrology: a viable method?
• Reconciliation of probability measures
• How to combine independent data sets for the same quantity
• Combining marginal probability distributions via minimization of weighted sum of Kullback-Leibler divergences

This page was built for publication: Conflations of probability distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3004376)