Functional Bregman Divergence and Bayesian Estimation of Distributions

DOI10.1109/TIT.2008.929943MaRDI QIDQ3604848zbMATH OpenOpenAlexWikidataFDO

Authors B. A. Frigyik, Santosh Srivastava, Maya R. Gupta

Publication date 24 February 2009

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cs/0611123

zbMATH Keywords

uniform distributionBayesian estimationBregman divergenceconvexityFréchet derivative

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Bayesian inference (62F15) General nonlinear regression (62J02) Measures of information, entropy (94A17)

Abstract: A class of distortions termed functional Bregman divergences is defined, which includes squared error and relative entropy. A functional Bregman divergence acts on functions or distributions, and generalizes the standard Bregman divergence for vectors and a previous pointwise Bregman divergence that was defined for functions. A recently published result showed that the mean minimizes the expected Bregman divergence. The new functional definition enables the extension of this result to the continuous case to show that the mean minimizes the expected functional Bregman divergence over a set of functions or distributions. It is shown how this theorem applies to the Bayesian estimation of distributions. Estimation of the uniform distribution from independent and identically drawn samples is used as a case study.

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