Converting information into probability measures with the Kullback-Leibler divergence

DOI10.1007/S10463-012-0350-4MaRDI QIDQ1925991zbMATH OpenOpenAlexFDO

Authors Pier Giovanni Bissiri, Stephen G. Walker

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)

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Cites work

• scientific article; zbMATH DE number 1807400 (Why is no real title available?)
• scientific article; zbMATH DE number 5770669 (Why is no real title available?)
• scientific article; zbMATH DE number 3322635 (Why is no real title available?)
• $\alpha$-Divergence Is Unique, Belonging to Both $f$-Divergence and Bregman Divergence Classes
• Expected information as ecpected utility
• On Bayesian learning from Bernoulli observations
• Remarks on the measurement of subjective probability and information
• Statistical decision theory. Foundations, concepts, and methods

Cited in

(9)

• Bayesian inference with misspecified models
• Bayesian estimation under Kullback-Leibler divergence measure based on exponential data
• 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
• scientific article; zbMATH DE number 7026832 (Why is no real title available?)

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