2000 character limit reached
Geometric shrinkage priors for Kählerian signal filters (1408.6800v3)
Published 28 Aug 2014 in math.ST, cs.IT, math.DG, math.IT, and stat.TH
Abstract: We construct geometric shrinkage priors for K\"ahlerian signal filters. Based on the characteristics of K\"ahler manifolds, an efficient and robust algorithm for finding superharmonic priors which outperform the Jeffreys prior is introduced. Several ans\"atze for the Bayesian predictive priors are also suggested. In particular, the ans\"atze related to K\"ahler potential are geometrically intrinsic priors to the information manifold of which the geometry is derived from the potential. The implication of the algorithm to time series models is also provided.