Some Results on a χ-divergence, an Extended Fisher Information and Generalized Cramér-Rao Inequalities

Abstract

We propose a modified χ β -divergence, give some of its properties, and show that this leads to the definition of a generalized Fisher information. We give generalized Cramer-Rao inequalities, involving this Fisher information, an extension of the Fisher information matrix, and arbitrary norms and power of the estimation error. In the case of a location parameter, we obtain new characterizations of the generalized q-Gaussians, for instance as the distribution with a given moment that minimizes the generalized Fisher information. Finally we indicate how the generalized Fisher information can lead to new uncertainty relations.