Converting information into probability measures with the Kullback-Leibler divergence

DOI10.1007/S10463-012-0350-4zbMATH Open1253.62005OpenAlexW2065760629MaRDI QIDQ1925991FDOQ1925991

Stephen G. Walker, Pier Giovanni Bissiri

Publication date: 27 December 2012

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-012-0350-4

zbMATH Keywords

Bayesian inferenceposterior distributionloss function\(g\)-divergence

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Bayesian problems; characterization of Bayes procedures (62C10) General considerations in statistical decision theory (62C05)

Cites Work

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• Expected information as ecpected utility
• Statistical decision theory. Foundations, concepts, and methods
• Remarks on the measurement of subjective probability and information
• $\alpha$-Divergence Is Unique, Belonging to Both $f$-Divergence and Bregman Divergence Classes
• On Bayesian learning from Bernoulli observations

Cited In (8)

• Bayesian inference with misspecified models
• Approximate models and robust decisions
• Kullback-Leibler information measure for studying convergence rates of densities and distributions
• On Bayesian learning via loss functions
• On Bayesian learning from Bernoulli observations
• The Kullback–Leibler Divergence Rate Between Markov Sources
• On general Bayesian inference using loss functions
• Title not available (Why is that?)

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