Generalization of Cramér-Rao and Bhattacharyya inequalities for the weighted covariance matrix
Kelbert, Mark ; Mozgunov, Pavel
Mathematical Communications, Tome 22 (2017) no. 1, p. 25-40 / Harvested from Mathematical Communications
Text on Mathematical Communications
The paper considers a family of probability distribution depending on a parameter. The goal is to derive the generalized versions of Rao-Cramer, Bhattacharyya inequalities for the weighted covariance matrix and of the Kullback inequality for the weighted Kullback distance which are important objects themselves. The asymptotic forms of these inequalities for a particular family of probability distribution and for a particular class of weight functions are given.
Publié le : 2017-02-17
Classification:  weighted covariance matrix, weighted Fisher information, Rao-Cram\'er inequality, Bhattacharyya inequality, Kullback inequality,  94A17, 62B10, 62C10 
@article{mc1634,
     author = {Kelbert, Mark and Mozgunov, Pavel},
     title = {Generalization of Cram\'er-Rao and Bhattacharyya inequalities for the weighted covariance matrix},
     journal = {Mathematical Communications},
     volume = {22},
     number = {1},
     year = {2017},
     pages = { 25-40},
     language = {eng},
     url = {http://dml.mathdoc.fr/item/mc1634}
}

Kelbert, Mark; Mozgunov, Pavel. Generalization of Cramér-Rao and Bhattacharyya inequalities for the weighted covariance matrix. Mathematical Communications, Tome 22 (2017) no. 1, pp.  25-40. http://gdmltest.u-ga.fr/item/mc1634/