A Class of Non-Parametric Statistical Manifolds modelled on Sobolev Space

We construct a family of non-parametric (infinite-dimensional) manifolds of finite measures on Rd. The manifolds are modelled on a variety of weighted Sobolev spaces, including Hilbert-Sobolev spaces and mixed-norm spaces. Each supports the Fisher-Rao metric as a weak Riemannian metric. Densities are expressed in terms of a deformed exponential function having linear growth. Unusually for the Sobolev context, and as a consequence of its linear growth, this "lifts" to a nonlinear superposition (Nemytskii) operator that acts continuously on a particular class of mixed-norm model spaces, and on the fixed norm space W²'¹ i.e. it maps each of these spaces continuously into itself. It also maps continuously between other fixed-norm spaces with a loss of Lebesgue exponent that increases with the number of derivatives. Some of the results make essential use of a log-Sobolev embedding theorem. Each manifold contains a smoothly embedded submanifold of probability measures. Applications to the stochastic partial differential equations of nonlinear filtering (and hence to the Fokker-Planck equation) are outlined

Warped Riemannian metrics for location-scale models

The present paper shows that warped Riemannian metrics, a class of Riemannian metrics which play a prominent role in Riemannian geometry, are also of fundamental importance in information geometry. Precisely, the paper features a new theorem, which states that the Rao-Fisher information metric of any location-scale model, defined on a Riemannian manifold, is a warped Riemannian metric, whenever this model is invariant under the action of some Lie group. This theorem is a valuable tool in finding the expression of the Rao-Fisher information metric of location-scale models defined on high-dimensional Riemannian manifolds. Indeed, a warped Riemannian metric is fully determined by only two functions of a single variable, irrespective of the dimension of the underlying Riemannian manifold. Starting from this theorem, several original contributions are made. The expression of the Rao-Fisher information metric of the Riemannian Gaussian model is provided, for the first time in the literature. A generalised definition of the Mahalanobis distance is introduced, which is applicable to any location-scale model defined on a Riemannian manifold. The solution of the geodesic equation is obtained, for any Rao-Fisher information metric defined in terms of warped Riemannian metrics. Finally, using a mixture of analytical and numerical computations, it is shown that the parameter space of the von Mises-Fisher model of $n$-dimensional directional data, when equipped with its Rao-Fisher information metric, becomes a Hadamard manifold, a simply-connected complete Riemannian manifold of negative sectional curvature, for $n = 2,\ldots,8$. Hopefully, in upcoming work, this will be proved for any value of $n$.Comment: first version, before submissio

Asymmetric topologies on statistical manifolds

Asymmetric information distances are used to define asymmetric norms and quasimetrics on the statistical manifold and its dual space of random variables. Quasimetric topology, generated by the Kullback-Leibler (KL) divergence, is considered as the main example, and some of its topological properties are investigated