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Workshop

General versions of the information inequalities of van Trees and of Stam

  • Peter Jupp (University of St. Andrews, United Kingdom)
Raum n.n. Universität Leipzig (Leipzig)

Abstract

Van Trees's inequality is a Bayesian version of the Cramer-Rao inequality for quadratic loss of estimators with values in vector spaces. The first part of the talk presents a generalisation of this inequality to the setting of smooth loss functions and estimators with values in manifolds. Various geometric objects (connections, metrics, tensors) play a role.

Stam's inequality compares the (inverse) Fisher information of the sum of two independent (real-valued) random variables with the (inverse) Fisher informations of these variables. The second part of the talk describes a generalisation of this inequality to the setting of random variables on Lie groups.

conference
8/2/10 8/6/10

Information Geometry and its Applications III

Universität Leipzig Raum n.n.

Antje Vandenberg

Max-Planck-Institut für Mathematik in den Naturwissenschaften Contact via Mail

Nihat Ay

Max Planck Institute for Mathematics in the Sciences, Germany

Paolo Gibilisco

Università degli Studi di Roma "Tor Vergata", Italy

František Matúš

Academy of Sciences of the Czech Republic, Czech Republic