Decision-Oriented Two-Parameter Fisher Information Sensitivity Using Symplectic Decomposition
Year: 2023
Type: article
Abstract: The eigenvalues and eigenvectors of the Fisher Information Matrix (FIM) can reveal the most and least sensitive directions of a system and it has wide application across science and engineering.We present a symplectic variant of the eigenvalue decomposition for the FIM and extract the sensitivity information with respect to two-parameter conjugate pairs.The symplectic approach decomposes the FIM onto an even-dimensional symplectic basis.This symplectic structure can reveal additional sensitivity information between two-parameter pairs, otherwise concealed in the orthogonal basis from the standard eigenvalue decomposition.The proposed sensitivity approach can be applied to naturally paired two-parameter distribution parameters, or a decision-oriented pairing via regrouping or re-parameterization of the FIM.It can be used in tandem with the standard eigenvalue decomposition and offer additional insights into the sensitivity analysis at negligible extra cost.Supplementary materials for this article are available online.
Source: Technometrics
Author: Jiannan Yang
Institution: University of Cambridge
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: hybrid
Award: G6648790831
OpenAlex ID: W4382465380