On -families of probability distributions

DOI10.1007/S10959-011-0400-5zbMATH Open1277.60033arXiv1105.1118OpenAlexW2060899802MaRDI QIDQ376254FDOQ376254

Authors: Rui F. Vigelis, Charles Casimiro Cavalcante 

Publication date: 4 November 2013

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: We generalize the exponential family of probability distributions. In our approach, the exponential function is replaced by a $varphi$-function, resulting in a $varphi$-family of probability distributions. We show how $varphi$-families are constructed. In a $varphi$-family, the analogue of the cumulant-generating function is a normalizing function. We define the $varphi$-divergence as the Bregman divergence associated to the normalizing function, providing a generalization of the Kullback-Leibler divergence. A formula for the $varphi$-divergence where the $varphi$-function is the Kaniadakis' $kappa$-exponential function is derived.

Full work available at URL: https://arxiv.org/abs/1105.1118

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zbMATH Keywords

Bregman divergenceMusielak-Orlicz spacesexponential family of probability distributions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

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Cited In (17)

• A two-parameter family of non-parametric, deformed exponential manifolds
• Infinite-dimensional statistical manifolds based on a balanced chart
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• Deformed exponentials and applications to finance
• Examples of the application of nonparametric information geometry to statistical physics
• Theoretical foundations and mathematical formalism of the power-law tailed statistical distributions
• Conditions for the existence of a generalization of Rényi divergence
• Sub-exponentiality in statistical exponential models
• The Banach manifold of measures and the Lagrange multipliers of statistical mechanics
• A generalized quantum relative entropy
• A class of non-parametric statistical manifolds modelled on Sobolev space
• The Δ2-Condition and ϕ-Families of Probability Distributions
• Rho-tau embedding of statistical models
• Robust concentration inequalities in maximal exponential models
• A class of non-parametric deformed exponential statistical models
• On normalization functions and \(\varphi \)-families of probability distributions
• Behaviors of \(\varphi\)-exponential distributions in Wasserstein geometry and an evolution equation

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