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arXiv · 1703.09403

The Cram\'er-Rao inequality on singular statistical models I

Jürgen Jost·Hông Vân Lê·Lorenz Schwachhöfer
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Abstract

We introduce the notion of the essential tangent bundle of a parametrized measure model and the notion of reduced Fisher metric on a (possibly singular) 2-integrable measure model. Using these notions and a new characterization of $k$-integrable parametrized measure models, we extend the Cram\'er-Rao inequality to $2$-integrable (possibly singular) statistical models for general $\varphi$-estimations, where $\varphi$ is a $V$-valued feature function and $V$ is a topological vector space. Thus we derive an intrinsic Cram\'er-Rao inequality in the most general terms of parametric statistics.

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Jürgen Jost, Hông Vân Lê, Lorenz Schwachhöfer. 2017-03-28. The Cram\'er-Rao inequality on singular statistical models I. https://arxiv.org/abs/1703.09403

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