Diffeological statistical models, the Fisher metric and probabilistic mappings

DOI10.3390/MATH8020167arXiv1912.02090MaRDI QIDQ6330433FDOQ6330433

Authors: Hông Vân Lê 

Publication date: 4 December 2019

Abstract: In this note we introduce the notion of a $C^k$-diffeological statistical model, which allows us to apply the theory of diffeological spaces to (possibly singular) statistical models. In particular, we introduce a class of almost 2-integrable $C^k$-diffeological statistical models that encompasses all known statistical models for which the Fisher metric is defined. This class contains a statistical model which does not appear in the Ay-Jost-L^e-Schwachh"ofer theory of parametrized measure models. Then we show that for any positive integer $k$ the class of almost 2-integrable $C^k$-diffeological statistical models is preserved under probabilistic mappings. Furthermore, the monotonicity theorem for the Fisher metric also holds for this class. As a consequence, the Fisher metric on an almost 2-integrable $C^k$-diffeological statistical model $PsubsetcalP(calX)$ is preserved under any probabilistic mapping $T:calXleadstocalY$ that is sufficient w.r.t. $P$. Finally we extend the Cram'er-Rao inequality to the class of 2-integrable $C^k$-diffeological statistical models.

Mathematics Subject Classification ID

Parametric inference (62Fxx) Combinatorics (05-XX) Sufficiency and information (62Bxx)

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