Title :
Fisher information determinant and stochastic complexity for Markov models
Author :
Takeuchi, Jun Ichi
Author_Institution :
Fac. of Inf., Kyushu Univ., Fukuoka, Japan
fDate :
June 28 2009-July 3 2009
Abstract :
We study Fisher information of stationary Markov models with a finite alphabet. In particular, we derive the Fisher information determinant of expectation parameter eta, which is defined as expectation of Markov type. The Fisher information determinant with respect to Markov kernel parameter (conditional probabilities) is easy to find, while it is not so with respect to the expectation parameter eta nor the natural parameter thetas. Note that thetas and eta are of special importance for exponential families including Markov models.
Keywords :
Markov processes; computational complexity; determinants; information theory; parameter estimation; Fisher information determinant; Markov kernel parameter; Markov models; expectation parameter; finite alphabet; stochastic complexity; Data compression; Informatics; Jacobian matrices; Kernel; Parametric statistics; Predictive models; Stochastic processes;
Conference_Titel :
Information Theory, 2009. ISIT 2009. IEEE International Symposium on
Conference_Location :
Seoul
Print_ISBN :
978-1-4244-4312-3
Electronic_ISBN :
978-1-4244-4313-0
DOI :
10.1109/ISIT.2009.5205510