Topics in statistical information theory
type: Item
instance of: scholarly article
title: Topics in statistical information theory
zbMATH Open document ID: 0632.62003
author: Solomon Kullback
author: John C. Keegel
author: J. H. Kullback
published in: Lecture Notes in Statistics
publication date: 1987-01-01T00:00:00Z
review text: This is a booklet about the cross entropy or the discrimination information for stochastic processes rather than for random variables. Hence, the results extend those in the book by the first author, Information theory and statistics (1959; Zbl 0088.104). Some of the potential applications are hypothesis testing and discrimination problems, for which the log-likelihood ratios associated with various stochastic processes are computed. A particular attention is paid to the linear discriminant functional and canonical correlations, whose computation is illustrated by a number of examples covering both continuous and discrete time processes. The book is somewhat terse, and many of the results are presented catalogue like with little effort to aid ones intuition. However, it is a useful collection of formulas with derivation, which the numerous examples illustrate.
Mathematics Subject Classification ID: 62B10
Mathematics Subject Classification ID: 92-02
Mathematics Subject Classification ID: 94A15
Mathematics Subject Classification ID: 94A17
zbMATH DE Number: 4028599
zbMATH Keywords: cross entropy
zbMATH Keywords: discrimination information
zbMATH Keywords: stochastic processes
zbMATH Keywords: hypothesis testing
zbMATH Keywords: log-likelihood ratios
zbMATH Keywords: linear discriminant functional
zbMATH Keywords: canonical correlations
zbMATH Keywords: examples
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 4028599