Information Geometry and Classical Cram\'{e}r-Rao Type Inequalities

arXiv2104.01061MaRDI QIDQ6364409FDOQ6364409

Kumar Vijay Mishra, M. Ashok Kumar

Publication date: 2 April 2021

Abstract: We examine the role of information geometry in the context of classical Cram'er-Rao (CR) type inequalities. In particular, we focus on Eguchi's theory of obtaining dualistic geometric structures from a divergence function and then applying Amari-Nagoaka's theory to obtain a CR type inequality. The classical deterministic CR inequality is derived from Kullback-Leibler (KL)-divergence. We show that this framework could be generalized to other CR type inequalities through four examples: $alpha$-version of CR inequality, generalized CR inequality, Bayesian CR inequality, and Bayesian $alpha$-CR inequality. These are obtained from, respectively, $I_{a}lpha$-divergence (or relative $alpha$-entropy), generalized Csisz'ar divergence, Bayesian KL divergence, and Bayesian $I_{a}lpha$-divergence.

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