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October, 1995 An Infinite-Dimensional Geometric Structure on the Space of all the Probability Measures Equivalent to a Given One
Giovanni Pistone, Carlo Sempi
Ann. Statist. 23(5): 1543-1561 (October, 1995). DOI: 10.1214/aos/1176324311

Abstract

Let $\mathscr{M}_\mu$ be the set of all probability densities equivalent to a given reference probability measure $\mu$. This set is thought of as the maximal regular (i.e., with strictly positive densities) $\mu$-dominated statistical model. For each $f \in \mathscr{M}_\mu$ we define (1) a Banach space $L_f$ with unit ball $\mathscr{V}_f$ and (2) a mapping $s_f$ from a subset $\mathscr{U}_f$ of $\mathscr{M}_\mu$ onto $\mathscr{V}_f$, in such a way that the system $(s_f, \mathscr{U}_f, f \in \mathscr{M}_\mu)$ is an affine atlas on $\mathscr{M}_\mu$. Moreover each parametric exponential model dominated by $\mu$ is a finite-dimensional affine submanifold and each parametric statistical model dominated by $\mu$ with a suitable regularity is a submanifold. The global geometric framework given by the manifold structure adds some insight to the so-called geometric theory of statistical models. In particular, the present paper gives some of the developments connected with the Fisher information metrics (Rao) and the Hilbert bundle introduced by Amari.

Citation Download Citation

Giovanni Pistone. Carlo Sempi. "An Infinite-Dimensional Geometric Structure on the Space of all the Probability Measures Equivalent to a Given One." Ann. Statist. 23 (5) 1543 - 1561, October, 1995. https://doi.org/10.1214/aos/1176324311

Information

Published: October, 1995
First available in Project Euclid: 11 April 2007

zbMATH: 0848.62003
MathSciNet: MR1370295
Digital Object Identifier: 10.1214/aos/1176324311

Subjects:
Primary: 62A25

Keywords: Nonparametric statistical manifolds , Orlicz spaces

Rights: Copyright © 1995 Institute of Mathematical Statistics

Vol.23 • No. 5 • October, 1995
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