Yang, Jiannan orcid.org/0000-0001-8323-7406 (2023) Decision-Oriented Two-Parameter Fisher Information Sensitivity Using Symplectic Decomposition. Technometrics. ISSN 1537-2723
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | Publisher Copyright: © 2023 The Author(s). Published with license by Taylor & Francis Group, LLC. |
Keywords: | Conjugate parameters,Decision under uncertainty,Moment-independent sensitivity,Probabilistic sensitivity,Symplectic eigenvalue,Williamson’s theorem |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Sciences (York) > Physics (York) |
Depositing User: | Pure (York) |
Date Deposited: | 03 Jan 2024 12:30 |
Last Modified: | 05 Feb 2025 00:09 |
Published Version: | https://doi.org/10.1080/00401706.2023.2216251 |
Status: | Published online |
Refereed: | Yes |
Identification Number: | 10.1080/00401706.2023.2216251 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:207117 |
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Description: Decision-Oriented Two-Parameter Fisher Information Sensitivity Using Symplectic Decomposition
Licence: CC-BY 2.5