On the Fisher metric of conditional probability polytopes

DOI10.3390/E16063207zbMATH Open1338.62070arXiv1404.0198OpenAlexW3105865414MaRDI QIDQ296470FDOQ296470

Johannes Rauh, Nihat Ay, Guido Montúfar

Publication date: 15 June 2016

Published in: Entropy (Search for Journal in Brave)

Abstract: We consider three different approaches to define natural Riemannian metrics on polytopes of stochastic matrices. First, we define a natural class of stochastic maps between these polytopes and give a metric characterization of Chentsov type in terms of invariance with respect to these maps. Second, we consider the Fisher metric defined on arbitrary polytopes through their embeddings as exponential families in the probability simplex. We show that these metrics can also be characterized by an invariance principle with respect to morphisms of exponential families. Third, we consider the Fisher metric resulting from embedding the polytope of stochastic matrices in a simplex of joint distributions by specifying a marginal distribution. All three approaches result in slight variations of products of Fisher metrics. This is consistent with the nature of polytopes of stochastic matrices, which are Cartesian products of probability simplices. The first approach yields a scaled product of Fisher metrics; the second, a product of Fisher metrics; and the third, a product of Fisher metrics scaled by the marginal distribution.

Full work available at URL: https://arxiv.org/abs/1404.0198

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zbMATH Keywords

information geometryisometric embeddingconditional modelconvex support polytopeFisher information metricMarkov morphismnatural gradient

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Parametric inference (62F99) Geometric probability and stochastic geometry (60D99)

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Cited In (4)

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