Variations on the Expectation due to Changes in the Probability Measure
Information Theory
2025-04-29 v2 Machine Learning
math.IT
Probability
Statistics Theory
Statistics Theory
Abstract
In this paper, closed-form expressions are presented for the variation of the expectation of a given function due to changes in the probability measure used for the expectation. They unveil interesting connections with Gibbs probability measures, mutual information, and lautum information.
Keywords
Cite
@article{arxiv.2502.02887,
title = {Variations on the Expectation due to Changes in the Probability Measure},
author = {Samir M. Perlaza and Gaetan Bisson},
journal= {arXiv preprint arXiv:2502.02887},
year = {2025}
}
Comments
Submitted to the IEEE Information Theory Workshop (ITW), 2025