Hellinger Information Matrix and Hellinger Priors

Entropy (Basel). 2023 Feb 13;25(2):344. doi: 10.3390/e25020344.


Hellinger information as a local characteristic of parametric distribution families was first introduced in 2011. It is related to the much older concept of the Hellinger distance between two points in a parametric set. Under certain regularity conditions, the local behavior of the Hellinger distance is closely connected to Fisher information and the geometry of Riemann manifolds. Nonregular distributions (non-differentiable distribution densities, undefined Fisher information or denisities with support depending on the parameter), including uniform, require using analogues or extensions of Fisher information. Hellinger information may serve to construct information inequalities of the Cramer-Rao type, extending the lower bounds of the Bayes risk to the nonregular case. A construction of non-informative priors based on Hellinger information was also suggested by the author in 2011. Hellinger priors extend the Jeffreys rule to nonregular cases. For many examples, they are identical or close to the reference priors or probability matching priors. Most of the paper was dedicated to the one-dimensional case, but the matrix definition of Hellinger information was also introduced for higher dimensions. Conditions of existence and the nonnegative definite property of Hellinger information matrix were not discussed. Hellinger information for the vector parameter was applied by Yin et al. to problems of optimal experimental design. A special class of parametric problems was considered, requiring the directional definition of Hellinger information, but not a full construction of Hellinger information matrix. In the present paper, a general definition, the existence and nonnegative definite property of Hellinger information matrix is considered for nonregular settings.

Keywords: Bayes risk; Hellinger information; Hellinger priors.

Grants and funding

This research was supported by the Center for Applied Mathematics at the University of St. Thomas.