Izvorni znanstveni članak
Generalization of Cramér-Rao and Bhattacharyya inequalities for the weighted covariance matrix
Mark Kelbert
orcid.org/0000-0002-3952-2012
; Higher School of Economics, National Research University, Moscow, RF; Department of Mathematics, Swansea University, Swansea, UK
Pavel Mozgunov
; Higher School of Economics, National Research University, Moscow, RF;Department of Mathematics and Statistics, Lancaster University, Lancaster, UK
Sažetak
The paper considers a family of probability distributions depending on a parameter.
The goal is to derive the generalized versions of Cramér-Rao and Bhattacharyya inequalities for the weighted covariance matrix and of the Kullback inequality for the weighted Kullback distance, which are important objects themselves [9, 23, 28]. The asymptotic
forms of these inequalities for a particular family of probability distributions and for a particular class of continuous weight functions are given.
Ključne riječi
weighted covariance matrix; weighted Fisher information; Cramér-Rao inequality; Bhattacharyya inequality; Kullback inequality
Hrčak ID:
176703
URI
Datum izdavanja:
4.4.2017.
Posjeta: 1.746 *