Affine invariant divergences associated with proper composite scoring rules and their applications

DOI10.3150/13-BEJ557zbMath1457.62093arXiv1305.2473OpenAlexW2051670307MaRDI QIDQ470075

Hironori Fujisawa, Takafumi Kanamori

Publication date: 11 November 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.2473

zbMATH Keywords

divergenceregression functionaffine invarianceBregman scorecomposite scoring ruleHölder scorerobust parameter estimation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Robustness and adaptive procedures (parametric inference) (62F35) General nonlinear regression (62J02) Statistical aspects of information-theoretic topics (62B10)

Related Items (6)

Robust sparse Gaussian graphical modeling ⋮ Graph-based composite local Bregman divergences on discrete sample spaces ⋮ Active learning by query by committee with robust divergences ⋮ Unnamed Item ⋮ Statistical inference based on bridge divergences ⋮ Robust estimation of a location parameter with the integrated Hogg function

Uses Software

• robustbase

Cites Work

• Projective power entropy and maximum Tsallis entropy distributions
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• Asymptotic Statistics
• Information Geometry of U-Boost and Bregman Divergence
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Robust Statistics
• Elements of Information Theory
• Robust Estimation of a Location Parameter
• Proper Scores for Probability Forecasters
• Statistical Inference
• Functional analysis and infinite-dimensional geometry
• Logistic regression, AdaBoost and Bregman distances
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• Unnamed Item

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