Final published version
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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Generalization of Cramér-Rao and Bhattacharyya inequalities for the weighted covariance matrix
AU - Kelbert, Mark
AU - Mozgunov, Pavel
PY - 2017/6/1
Y1 - 2017/6/1
N2 - The paper considers a family of probability distributions depending on a parameter. The goal is to derive the generalized versions of Cramer-Rao and 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 distributions and for a particular class of continuous weight functions are given.
AB - The paper considers a family of probability distributions depending on a parameter. The goal is to derive the generalized versions of Cramer-Rao and 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 distributions and for a particular class of continuous weight functions are given.
KW - weighted covariance matrix
KW - weighted Fisher information
KW - Rao-Cramer inequality
KW - Bhattacharyya inequality
KW - Kullback inequality
M3 - Journal article
VL - 22
SP - 25
EP - 40
JO - Mathematical Communications
JF - Mathematical Communications
SN - 1331-0623
IS - 1
ER -