scholarly journals Information Geometry of Reversible Markov Chains

Author(s):  
Geoffrey Wolfer ◽  
Shun Watanabe

AbstractWe analyze the information geometric structure of time reversibility for parametric families of irreducible transition kernels of Markov chains. We define and characterize reversible exponential families of Markov kernels, and show that irreducible and reversible Markov kernels form both a mixture family and, perhaps surprisingly, an exponential family in the set of all stochastic kernels. We propose a parametrization of the entire manifold of reversible kernels, and inspect reversible geodesics. We define information projections onto the reversible manifold, and derive closed-form expressions for the e-projection and m-projection, along with Pythagorean identities with respect to information divergence, leading to some new notion of reversiblization of Markov kernels. We show the family of edge measures pertaining to irreducible and reversible kernels also forms an exponential family among distributions over pairs. We further explore geometric properties of the reversible family, by comparing them with other remarkable families of stochastic matrices. Finally, we show that reversible kernels are, in a sense we define, the minimal exponential family generated by the m-family of symmetric kernels, and the smallest mixture family that comprises the e-family of memoryless kernels.

1979 ◽  
Vol 16 (01) ◽  
pp. 226-229 ◽  
Author(s):  
P. Suomela

An explicit formula for an invariant measure of a time-reversible Markov chain is presented. It is based on a characterization of time reversibility in terms of the transition probabilities alone.


1979 ◽  
Vol 16 (1) ◽  
pp. 226-229 ◽  
Author(s):  
P. Suomela

An explicit formula for an invariant measure of a time-reversible Markov chain is presented. It is based on a characterization of time reversibility in terms of the transition probabilities alone.


Mathematics ◽  
2021 ◽  
Vol 9 (13) ◽  
pp. 1568
Author(s):  
Shaul K. Bar-Lev

Let F=Fθ:θ∈Θ⊂R be a family of probability distributions indexed by a parameter θ and let X1,⋯,Xn be i.i.d. r.v.’s with L(X1)=Fθ∈F. Then, F is said to be reproducible if for all θ∈Θ and n∈N, there exists a sequence (αn)n≥1 and a mapping gn:Θ→Θ,θ⟼gn(θ) such that L(αn∑i=1nXi)=Fgn(θ)∈F. In this paper, we prove that a natural exponential family F is reproducible iff it possesses a variance function which is a power function of its mean. Such a result generalizes that of Bar-Lev and Enis (1986, The Annals of Statistics) who proved a similar but partial statement under the assumption that F is steep as and under rather restricted constraints on the forms of αn and gn(θ). We show that such restrictions are not required. In addition, we examine various aspects of reproducibility, both theoretically and practically, and discuss the relationship between reproducibility, convolution and infinite divisibility. We suggest new avenues for characterizing other classes of families of distributions with respect to their reproducibility and convolution properties .


2021 ◽  
pp. 001316442199253
Author(s):  
Robert C. Foster

This article presents some equivalent forms of the common Kuder–Richardson Formula 21 and 20 estimators for nondichotomous data belonging to certain other exponential families, such as Poisson count data, exponential data, or geometric counts of trials until failure. Using the generalized framework of Foster (2020), an equation for the reliability for a subset of the natural exponential family have quadratic variance function is derived for known population parameters, and both formulas are shown to be different plug-in estimators of this quantity. The equivalent Kuder–Richardson Formulas 20 and 21 are given for six different natural exponential families, and these match earlier derivations in the case of binomial and Poisson data. Simulations show performance exceeding that of Cronbach’s alpha in terms of root mean square error when the formula matching the correct exponential family is used, and a discussion of Jensen’s inequality suggests explanations for peculiarities of the bias and standard error of the simulations across the different exponential families.


1982 ◽  
Vol s2-25 (3) ◽  
pp. 564-576 ◽  
Author(s):  
David J. Aldous

2001 ◽  
Vol 38 (A) ◽  
pp. 37-41 ◽  
Author(s):  
Gareth O. Roberts ◽  
Richard L. Tweedie

The paper proves the statement of the title, and shows that it has useful applications in evaluating the convergence of queueing models and Gibbs samplers with deterministic and random scans.


1977 ◽  
Vol 9 (04) ◽  
pp. 747-764
Author(s):  
Burton Singer ◽  
Seymour Spilerman

In a wide variety of multi-wave panel studies in economics and sociology, comparisons between the observed transition matrices and predictions of them based on time-homogeneous Markov chains have revealed a special kind of discrepancy: the trace of the observed matrices tends to be larger than the trace of the predicted matrices. A common explanation for this discrepancy has been via mixtures of Markov chains. Specializing to mixtures of Markov semi-groups of the form we exhibit classes of stochastic matrices M, probability measures µ and time intervals Δ such that for k = 2, 3 and 4. These examples contradict the substantial literature which suggests — implicitly — that the above inequality should be reversed for general mixtures of Markov semi-groups.


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