Conformal geometry of statistical manifold with application to sequential estimation

DOI10.1080/07474946.2011.593923MaRDI QIDQ3094216zbMATH OpenOpenAlexFDO

Authors Masayuki Kumon, Kei Takeuchi, Akimichi Takemura

Publication date 21 October 2011

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1102.3471

zbMATH Keywords

affine connectionscurved exponential familyhyperboloid distributioninformation geometryprojective transformationRiemannian metricspace of constant curvaturetotally umbilicvon Mises-Fisher distribution

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Sequential estimation (62L12)

Abstract: We present a geometrical method for analyzing sequential estimating procedures. It is based on the design principle of the second-order efficient sequential estimation provided in Okamoto, Amari and Takeuchi (1991). By introducing a dual conformal curvature quantity, we clarify the conditions for the covariance minimization of sequential estimators. These conditions are further elabolated for the multidimensional curved exponential family. The theoretical results are then numerically examined by using typical statistical models, von Mises-Fisher and hyperboloid models.

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Cites work

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• On the conditions for the existence of ancillary statistics in a curved exponential family
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Cited in

(5)

• A sequential structure of statistical manifolds on deformed exponential family
• Hessian structures on deformed exponential families and their conformal structures
• Conformal geometry of sequential test in multidimensional curved exponential family
• scientific article; zbMATH DE number 7387543 (Why is no real title available?)
• Discussion on ``Sequential estimation for time series models by T. N. Sriram and Ross Iaci

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