Indian Statistical Institute

Information Metric for Extreme Value and Logistic Probability Distributions Author(s): Jose M. Oller Reviewed work(s): Source: Sankhy: The Indian Journal of Statistics, Series A, Vol. 49, No. 1 (Feb., 1987), pp. 1723 Published by: Springer on behalf of the Indian Statistical Institute Stable URL: http://www.jstor.org/stable/25050618 . Accessed: 21/11/2011 17:42
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: The Indian Journal Sankhy? 1987, Volume 49, Series A, Pt.

of Statistics 1, pp. 17-23.

INFORMATION METRIC FOR EXTREME VALUE AND LOGISTIC PROBABILITY DISTRIBUTIONS

By JOSE M. OLLER
University
SUMMARY. the information metric In this over paper the we

of Barcelona,
discuss the

Spain
geometric and the induced by properties value families of extreme probability distribu are

differential of some

parameter

space

parametric

probability tion. obtained The

distributions Gaussian explicitly

(Gumbel, curvature,

Cauchy-Fr?cheb, the

Weibull)

logistic between

and

related

and the Rao geodesies are discussed. properties

distances

distributions

1. Distance measures between

Introduction

have been used in distributions probability a wide variety of studies in problems of statistical inference and in practical : analysis to study affinities sets of populations of among given applications biological in sociology and other fields of study ; see, for In et al. (1975), Rao instance, Matusita (1955), Prevosti (1948, 1973, 1982). as a measure all cases, the distance of the information could be interpreted data, in economics, between two probability distributions.

dissimilarity

a statistical a family model is specified of parametric Frequently, by of setting distributions. One method the difference between probability a covariant two of them is by defining tensor field of the second symmetric over the parameter definite space of the given family of positive as a metric tensor field of this space, which may be regarded distributions, a Riemannian structure. two distri The distance manifold between with order and butions metry, is then by computed the resolving tensor following corresponding the usual geodesic via methods of Riemannian equations. information matrix, the through geo

differential the Fisher

The metric Rao (1945),

field

can be defined (1981),

Atkinson

and Mitchell Burbea and Rao

or more

^-entropy has method distributions 1985).

AMS Key distributions.

functional, been

applied (see the above

for well

The (1984). (1982, 1984) of parametric families known probability and also Oiler cited and Cuadras, papers,

generally and Burbea

(1980) words

subject

classification : Information

: 62H30, metric,

94A17,

?3A35. distance in probability, extreme value

and phrases

geodesic

A 1-3

18 In tributions ded) sive Here for types, this

J. M.

OLLER

to extreme the method is applied paper, of the Gumbel (exponential), Cauchy-Fr?chet, and to the Weibull distributions and may curvature, the of these logistic be found

dis probability and Weibull (boun A comprehen distribution. and Kotz (1970). distance are also

value

study we obtain each

in Johnson

the Gaussian of distributions.

family

the geodesies and the Rao other related Some properties

discused. 2. The Gumbel by the cumulative GUMBEL EXTREME VALUE DISTRIBUTIONS extreme function = exp (6 > (-e-<*-?>/0), 0). We let ?2= {(oc, 6) e722 :6 > 0}, value family of distributions is defined

(exponential) distribution F(x)

where and

a thus

and

d are

parameters

p(x\a,

6)

exp

(?e-<*-*>'?)

-<*-?>/*-L where 72 is the

is the probability function defined density space and ?2 is the parameter space. First meter of all we through = (?>(x) x have

on 72 Xii,

sample

space

by taking of the Fisher ments as in the present

tensor to compute the metric field over the para as in Burbea and Rao the ^-entropy functional, (1982), are the ele x. Then tensor components the metric log information under regularity which, matrix, conditions, are _ __? _ _ yd2logf>v

case,

F/d2logff\

(d*\ogp\

By random

that the moment observing is given by : variable X

generating

function

= ijr(t)

E(etx)

of the

= x?r(t) e?*T(l~dt)
where Y is the usual gamma function,

(6t<l),

and hence

r(l)
where nents y is the Euler are :

1,P(l) = -r> ni)

we find that

y*+

?,
tensor field compo

constant,

the metric

S'il

?.

Pu

9n

= (??p-.

= 022

((1-')')2+^-)

02

(2>1)

INFORMATION METRIC FOR EXTREME VALUE DISTRIBUTIONS Thus, the information metric may be expressed as

19

ds2= ~
where a= and (a, 6) is in the parameter This metric

((da)2-2a(dot) (dd)+(a2+b2) (dO)2)

b= ?1. in

1?7, space

nj^/Q

can be factored,

resulting

ds2= ^
The linear change

(da?(a?ib)dd)

(da-(a+ib)dd).

of parameters
u = a?ad, v = bd

a diffeomorphism constitutes = in the b Thus, tt/a/g. metric becomes

(a, 0)-> parameters

(u, v) of Q, onto (u, v) (u ef?,

itself, with the Jacobian v > 0), the information

ds2 = or ds2 = This

b2 -g (du+idv) v

(du?idv)

b2 -j- (?w)2+(^)2.

the Poincar? metric of the is, effectively, upper-half plane w = u-\-iv, are e $ :/mw > and thus all relevant quantities easily 0}, {w and in fact well-known The deduced, (see pp. 24-25 of Burbea (1984)). ? are curves is then lc= ? Ijb2 ? curvature the geodesies Gaussian 6/n2, = the semi circles w A+re** (r> 0, 0 < ^ < n) where A is a real constant. Q = The Rao distance between two points (ocv 0X) and (a2, 62), s(l, 2) is

= -?1'2) ^^e|rl
Where *M 2?'= *' which 3 The the is also a distance /[(?.-?i)-?^?-^)]^^,-^)'

= v?itenh-1^2)
\* ?v ,? "M?bius distance".

<2-2>
^^

l[(a2-a1)-a(?2-?1)P+62(?2+^;
on Q, called the

CaUCHY-FRECHET

AND WEIBULL

EXTREME VALUE DISTRIBUTIONS

extreme-value is defined Cauchy-Fr?chet family of distributions by function distribution with F(y) = 0 for y < 0 and with cumulative F,

i%)=

exp(-(|p)

20 for 72+ y> = 0, where (0, oo). ? and ? Then p(.\?,

J. M.

OLLER

are positive parameters. = A), where p(y\?, A)

~A \ / V \~(A+1)

We

let

?2= 0 and

72% where

0 for y <
A

*IA*)--p(-(JD(?)for y > is the 0, is the sample

)
on 72X?,, where 72

defined function probability density and ?2 is the parameter space space. can be reduced to the former

This distribution Y >

distribution with ?

0 and X and 6 = 1/A. of coordinates information random

the of change 0 for Y < 0, and it follows that

Thus

(a, d), (parameters), is invariant under metric as well as

extreme value = random the variables X log Y for a= with the change of parameters log ? the metric tensor field in the new system is given by (2.1). is so because This the Gumbel the admissible transformations of the

of the parameters. the Gaussian Therefore, variables, over the parameter and equal to curvature ?2 is also a constant space = k two points The Rao distance between (?v Ax) and ?6/n2. (?2, A2)

in ?2 is = ,(1, 2) Where -JL log [?^i| ?n '- '_ (

1?y, 6=

= ?

tanh-i 8(1, 2)

...

(3.1)

/ Pog (A/?)+?(A2-A1)/A1

\ Pog (?/A)+a(A,-A1)/A1AJ?+6*(A8+A1)*/Af A| /

AJ'+^-AJ'/AfAj

**

and a =

nj\/e. extreme function value F, family of distributions 1 for z ^ with F(z) = is defined 0 and by

The Weibull the cumulative

(bounded) distribution

*(Z)=
for 2 < ?2 = 0, and where 7?2.

e*p(-(-?f)
parameters be reduced change to that in the parameter space of the Gumbel variables and

extreme
parameters

Again, value distribution

:

are positive ? and A can this distribution by the

following

of random

f -log(-Z),

Z<0

L
and a =

o
?log = ?, 6

, z>
1/A.

INFORMATION METRIC FOR EXTREME VALUE It follows that the Rao distance between

DISTRIBUTIONS and

21

corresponding

to these Weibull

two points (?v ?-J is given by distributions,

(/?2, A2) in Q,

?< 2> w-log SSrl

where

tonh"'*" 2) Al v*'

<3'2)

m
The Gaussian A by its

( '^ '_

/ [log (??/??-?(A.-AJ/A^J'+^A.-AJ'/Af
here is, of course, is the k ? ?6/tt2

\ [log(?/AJ-aiAB-AO/A^l'+ft^+A^'/Af A| /
as before. distribution

curvature

closely related distribution cumulative function

ordinary

Weibull

given

fo

, y<o

ll-exp(-(|)
However, to that the Gaussian the change of the random extreme ~6/n2 variable value Z = of the previous Weibull curvature is k = 4. The density function The for

), ?>0
? Y reduces distribution. distance this problem Thus, once again, as (3.2). is precisely

and the Rao

logistic the logistic

distribution distribution is given by

p(x |a, /?)= ?

where sample of the (a, ?) e Q, with In this space. random var?ate Q =

sech2 ((x-0L)\2?)

(x eft),
and J2 is the = \?r(t) E(etx)

as the parameter space, y?X?x!+ case the moment function generating is X = \[r(t) nt cosec nt. metric

and hence,

by a routine

calculation,

the information

can be expressed

as

The

change of parameters a diffeomorphism constitutes

(a, /?)?> (u, v) given of Q onto itself,

= by u resulting

\/3/(7r2+3) in

a and v=?

dsz= it+V ?^(du)>+{dvn

which is, essentially the Poincar? metric for the upper half-plane Q. It follows

22 that the Gaussian curvature

J. M.

OLLER

is k =

9/(7r2+3),

and

that

the Rao

distance

between (a, ?x) and (a2, ?2) is

?1, 2)^L
Where m = < ' 2)>
5. Some

= tanh- ,(1, 2) log 2-^|?i I?f^>

/(3/(^+3))(a2-q1)2+(/?2-/g1)2^
extensions an and concluding set of random extreme value The

'
bemabks variables. probability Each dis

\(3l{^+Z))(oc2-a1f+(?,+?1r>

tributed with

Let Xv ..., Xn be as the Gumbel a* and (av d1;

independent

parameters i.e. (/?X^+)n,

(exponential) = di > 0 (i 1, ..., n). ... ; an, dn) e(7ex7S+)n.

distribution is then is then

space parameter The Rao distance

where minor

2) is suitably hold modifications, 8jc(l, It should be noted

defined for the the

similar (2.3). Very through discussed other distributions informative the

results, before.

with

that

distributions Burbea

is essentially that of and Rao (1982) and Burbea

induced by the above geometry distributions normal univariate (see

(1984)).

is characterized In practice, considered each distribution by maximum in (2.2) or the latter estimates of the parameters. likelihood Substituting In some practical of 5(1, 2). estimate likelihood (3.1), gives the maximum as demography to identify and survival time studies it is possible applications, group or individual through them using hence one can compare Then one can apply multidimensional each of the distributions representation a hierarchic classification to obtain or dendrograms, outputs, also possible of course, on the above Rao by using to construct one of the distributions determined considered, Rao and the previously scaling as points of the distances.

a to obtain (MDS) techniques in a plane. It is also possible and their graphic distributions methods. taxonomy test statistical hypothesis It is, based

numerical some

distances.
References

Atkinson, Burbea, J.

C. and Mitchell,

A. F.

S.

(1981)

: Rao's

distance

measure. spaces.

Sankhy?, Technical

43, A, Report No.

345-365. 84-52,

University Burbea, sures J.

: Informative (1984) of Pittsburgh. C. R.

geometry

of probability

and Rao, in probability

spaces

distance differential metric, (1982) : Fmtropy : a unified J. Multivariate Anal., approach.

and 12,

divergence 575-596.

mea

INFORMATION METRIC FOR EXTREME VALUE DISTRIBUTIONS

-(1984) Fase. Cuadras, Hicks, Johnson, Matusita. Inst. Oller, N. 2, C. M. J. N. K. : Differential 241-258. (1981) : M?todos de An?lisis Mi?tivariante., Geometry, Van Eunibar, Nostran, Barcelona. Princeton, Wiley, the New N. York. problem. J.. metrics in probability spaces. Probability Math. Statist.,

23
3,

(1965) L.

: Noies S.

on Differential (1970)

and Kotz,

: Distributions based on

in Statistics, for

: Decision rule (1957) Statist. 8, 67-77. Math., and Cuadras, 47, A, Ocana, 75-83. J. based and on Alonso, C. M.

the distance

classification

Ann.

J. M. Sankhy?,

(1985)

: Rao's

distance

for negative

multinomial

distributions.

Pbevosti,

A.,

G.

(1975)

: Distances

between

melanogaster, 45, Rao, C. R. Calcutta -? 231-241.

chromosome

arrangement

frequencies.

populations Theoretical

of Drosophila Appl. Genetic,

: Information and (1945) Math. Soc, 37, 81-91. The J. Roy utilization Statist. Soc,

accuracy

attainable

in the

estimation

of parameters.

Bull.

(1948): fication. (1973) (1982):

of multiple B, 10,

measurements 159-193. and its Applications, A

in problems

of

biological

classi

: Linear Diversity Biology, A

Statistical and 21,

Inference Dissimilarity

Wiley, unified

New approach.

York. J. Theoreti

Coefficients:

cal Population Spivak, M. Berkeley, (1979): CA.

24-43. Introduction to Differential Geometry, Publish or Perish,

Comprehensive

received : October, 1985. Paper : January, 1986. Revised