Information geometry is an interdisciplinary field that applies the techniques of differential geometry to study probability theory and statistics. It studies statistical manifolds, which are Riemannian manifolds whose points correspond to probability distributions.
This article may need to be rewritten to comply with Wikipedia's quality standards, as This should be edited to include some statistical background.. (April 2019)
Historically, information geometry can be traced back to the work of C. R. Rao, who was the first to treat the Fisher matrix as a Riemannian metric. The modern theory is largely due to Shun'ichi Amari, whose work has been greatly influential on the development of the field.
Classically, information geometry considered a parametrized statistical model as a Riemannian manifold. For such models, there is a natural choice of Riemannian metric, known as the Fisher information metric. In the special case that the statistical model is an exponential family, it is possible to induce the statistical manifold with a Hessian metric (i.e a Riemannian metric given by the potential of a convex function). In this case, the manifold naturally inherits two flat affine connections, as well as a canonical Bregman divergence. Historically, much of the work was devoted to studying the associated geometry of these examples. In the modern setting, information geometry applies to a much wider context, including non-exponential families, nonparametric statistics, and even abstract statistical manifolds not induced from a known statistical model. The results combine techniques from information theory, affine differential geometry, convex analysis and many other fields.
The standard references in the field are Shun’ichi Amari and Hiroshi Nagaoka's book, Methods of Information Geometry, and the more recent book by Nihat Ay and others. A gentle introduction is given in the survey by Frank Nielsen. In 2018, the journal Information Geometry was released, which is devoted to the field.
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The history of information geometry is associated with the discoveries of at least the following people, and many others.
- Ronald Fisher
- Harald Cramér
- Calyampudi Radhakrishna Rao
- Harold Jeffreys
- Solomon Kullback
- Jean-Louis Koszul
- Richard Leibler
- Claude Shannon
- Imre Csiszár
- N. N. Cencov (also written as Chentsov)
- Bradley Efron
- Shun'ichi Amari
- Ole Barndorff-Nielsen
- Frank Nielsen
- Damiano Brigo
- A. W. F. Edwards
- Grant Hillier
- Kees Jan Van Garderen
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As an interdisciplinary field, information geometry has been used in various applications.
Here an incomplete list:
- Statistical inference
- Time series and linear systems
- Quantum systems
- Neural networks
- Machine learning
- Statistical mechanics
- Mathematical finance
- Rao, C. R. (1945). "Information and Accuracy Attainable in the Estimation of Statistical Parameters". Bulletin of the Calcutta Mathematical Society. 37: 81–91. Reprinted in Breakthroughs in Statistics. Springer. 1992. pp. 235–247. doi:10.1007/978-1-4612-0919-5_16.
- Nielsen, F. (2013). "Cramér-Rao Lower Bound and Information Geometry". In Bhatia, R.; Rajan, C. S. (eds.). Connected at Infinity II: On the Work of Indian Mathematicians. Special Volume of Texts and Readings in Mathematics (TRIM). Hindustan Book Agency. arXiv:1301.3578. ISBN 978-93-80250-51-9.
- Amari, Shun'ichi; Nagaoka, Hiroshi (2000). Methods of Information Geometry. Translations of Mathematical Monographs. 191. American Mathematical Society. ISBN 0-8218-0531-2.
- Ay, Nihat; Jost, Jürgen; Lê, Hông Vân; Schwachhöfer, Lorenz (2017). Information Geometry. Ergebnisse der Mathematik und ihrer Grenzgebiete. 64. Springer. ISBN 978-3-319-56477-7.
- Nielsen, Frank (2018). "An Elementary Introduction to Information Geometry". arXiv:1808.08271.
- Amari, Shun'ichi (1985). Differential-Geometrical Methods in Statistics. Lecture Notes in Statistics. Berlin: Springer-Verlag. ISBN 0-387-96056-2.
- Murray, M.; Rice, J. (1993). Differential Geometry and Statistics. Monographs on Statistics and Applied Probability. 48. Chapman and Hall. ISBN 0-412-39860-5.
- Kass, R. E.; Vos, P. W. (1997). Geometrical Foundations of Asymptotic Inference. Series in Probability and Statistics. Wiley. ISBN 0-471-82668-5.
- Marriott, Paul; Salmon, Mark, eds. (2000). Applications of Differential Geometry to Econometrics. Cambridge University Press. ISBN 0-521-65116-6.