On logarithmic derivatives of probability densities


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Authors

  • A.V. Rezbaev Department of Mathematics, National Research University Higher School of Economics

DOI:

https://doi.org/10.32523/bulmathenu.2021/3.2

Keywords:

Fisher information, logarithmitic derivative, Uglanov’s lemma, Krugova’s inequality

Abstract

We construct two examples connected with the integrability of logarithmic derivatives of probability densities on the real line, in particular, with the Fisher information number.
These examples show that the Fisher information of a probability density cannot be estimated
in terms of L
1
-norms of its first and second derivatives and the maximum of the absolute value
of the second derivative. In addition, the norm of the logarithmic derivative of the density in
L
3
cannot be estimated in terms of the norms in L
1 of the derivatives of the density of any
order.

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Published

2021-09-30

How to Cite

A.V. Rezbaev. (2021). On logarithmic derivatives of probability densities. Bulletin of L.N. Gumilyov Eurasian National University. Mathematics, Computer Science, Mechanics Series, 136(3), 17–22. https://doi.org/10.32523/bulmathenu.2021/3.2

Issue

Vol. 136 No. 3 (2021)

Section

Статьи