Zhang J. Jeffreys Divergence and Generalized Fisher Information Measures on Fokker-Planck Space-Time Random Field.
ENTROPY (BASEL, SWITZERLAND) 2023;
25:1445. [PMID:
37895566 PMCID:
PMC10606917 DOI:
10.3390/e25101445]
[Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Subscribe] [Scholar Register] [Received: 08/24/2023] [Revised: 10/01/2023] [Accepted: 10/11/2023] [Indexed: 10/29/2023]
Abstract
In this paper, we present the derivation of Jeffreys divergence, generalized Fisher divergence, and the corresponding De Bruijn identities for space-time random field. First, we establish the connection between Jeffreys divergence and generalized Fisher information of a single space-time random field with respect to time and space variables. Furthermore, we obtain the Jeffreys divergence between two space-time random fields obtained by different parameters under the same Fokker-Planck equations. Then, the identities between the partial derivatives of the Jeffreys divergence with respect to space-time variables and the generalized Fisher divergence are found, also known as the De Bruijn identities. Later, at the end of the paper, we present three examples of the Fokker-Planck equations on space-time random fields, identify their density functions, and derive the Jeffreys divergence, generalized Fisher information, generalized Fisher divergence, and their corresponding De Bruijn identities.
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