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Pré-Publication, Document De Travail Année : 2014

Fisher Information and Exponential Families Parametrized by a Segment of Means

Résumé

We consider natural and general exponential families $(Q_m)_{m\in M}$ on $\mathbb{R}^d$ parametrized by the means. We study the submodels $(Q_{\theta m_1+(1-\theta)m_2})_{\theta\in[0,1]}$ parametrized by a segment in the means domain, mainly from the point of view of the Fisher information. Such a parametrization allows for a parsimonious model and is particularly useful in practical situations when hesitating between two parameters $m_1$ and $m_2$. The most interesting examples are obtained when $\mathbb{R}^d$ is a linear space of matrices, in particular for Gaussian and Wishart models.
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Dates et versions

hal-00942218 , version 1 (06-02-2014)

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Piotr Graczyk, Salha Mamane. Fisher Information and Exponential Families Parametrized by a Segment of Means. 2014. ⟨hal-00942218⟩
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