Geometric Shrinkage Priors for Kählerian Signal Filters
| Autor: | Andrew P. Mullhaupt, Jaehyung Choi |
|---|---|
| Rok vydání: | 2015 |
| Předmět: |
Mathematics - Differential Geometry
information geometry Computer Science - Information Theory Bayesian probability General Physics and Astronomy Mathematics - Statistics Theory lcsh:Astrophysics Kähler manifold lcsh:QB460-466 Prior probability Applied mathematics Information geometry lcsh:Science Mathematics::Symplectic Geometry Mathematics Bayesian prediction Subharmonic function Series (mathematics) superharmonic prior lcsh:QC1-999 Manifold lcsh:Q Mathematics::Differential Geometry lcsh:Physics Jeffreys prior |
| Zdroj: | Entropy, Vol 17, Iss 3, Pp 1347-1357 (2015) Entropy Volume 17 Issue 3 Pages 1347-1357 |
| ISSN: | 1099-4300 |
| DOI: | 10.3390/e17031347 |
| Popis: | We construct geometric shrinkage priors for K\"ahlerian signal filters. Based on the characteristics of K\"ahler manifolds, an efficient and robust algorithm for finding superharmonic priors which outperform the Jeffreys prior is introduced. Several ans\"atze for the Bayesian predictive priors are also suggested. In particular, the ans\"atze related to K\"ahler potential are geometrically intrinsic priors to the information manifold of which the geometry is derived from the potential. The implication of the algorithm to time series models is also provided. Comment: 10 pages, published version |
| Databáze: | OpenAIRE |
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