Infinite-dimensional statistical manifolds based on a balanced chart

Abstract

We develop a family of infinite-dimensional Banach manifolds of measures on an abstract measurable space, employing charts that are "balanced" between the density and log-density functions. The manifolds, $(\tilde{M}_λ,λ\in [2,\infty))$, retain many of the features of finite-dimensional information geometry; in particular, the $α$-divergences are of class $C^{\lceilλ\rceil-1}$, enabling the definition of the Fisher metric and $α$-derivatives of particular classes of vector fields. Manifolds of probability measures, $(M_λ,λ\in [2,\infty))$, based on centred versions of the charts are shown to be $C^{\lceilλ\rceil-1}$-embedded submanifolds of the $\tilde{M}_λ$. The Fisher metric is a pseudo-Riemannian metric on $\tilde{M}_λ$. However, when restricted to finite-dimensional embedded submanifolds it becomes a Riemannian metric, allowing the full development of the geometry of $α$-covariant derivatives. $\tilde{M}_λ$ and $M_λ$ provide natural settings for the study and comparison of approximations to posterior distributions in problems of Bayesian estimation.