A unified approach is presented for establishing a broad class of Cram\'er-Rao inequalities for the location parameter, including, as special cases, the original inequality of Cram\'er and Rao, as well as an $L^p$ version recently established by the authors. The new approach allows for generalized moments and Fisher information measures to be defined by convex functions that are not necessarily homogeneous. In particular, it is shown that associated with any log-concave random variable whose density satisfies certain boundary conditions is a Cram\'er-Rao inequality for which the given log-concave random variable is the extremal. Applications to specific instances are also provided.

We define the notion of a Ricci curvature lower bound for parametrized statistical models. Following the seminal ideas of Lott–Sturm–Villani, we define this notion based on the geodesic convexity of the Kullback–Leibler divergence in a Wasserstein statistical manifold, that is, a manifold of probability distributions endowed with a Wasserstein metric tensor structure. Within these definitions, which are based on Fisher information matrix and Wasserstein Christoffel symbols, the Ricci curvature is related to both, information geometry and Wasserstein geometry. These definitions allow us to formulate bounds on the convergence rate of Wasserstein gradient flows and information functional inequalities in parameter space. We discuss examples of Ricci curvature lower bounds and convergence rates in exponential family models.

We study the well-posedness of a unified system of coupled forward-backward stochastic differential equations (FB-SDEs) with Levy jumps and double completely-S skew reflections. Owing to the reflections, the solution to an embedded Skorohod problem may be not unique, i.e., bifurcations may occur at reflection boundaries, the well-known contraction mapping approach can not be extended directly to solve our problem. Thus, we develop a weak convergence method to prove the well-posedness of an adapted 6-tuple weak solution in the sense of distribution to the unified system. The proof heavily depends on newly established Malliavin calculus for vector-valued Levy processes together with a generalized linear growth and Lipschitz condition that guarantees the well-posedness of the unified system even under a random environment. Nevertheless, if a more strict boundary condition is imposed, i.e., the spectral radii in certain sense for the reflections are strictly less than the unity, a unique adapted 6-tuple strong solution in the sense of sample pathwise is concerned. In addition, as applications and economical studies of our unified system, we also develop new techniques including deriving a generalized mutual information formula for signal processing over possible non-Gaussian channels with multi-input multi-output (MIMO) antennas and dynamics driven by Levy processes.

We study generalized Hopf–Cole transformations motivated by the Schrödinger bridge problem, which can be seen as a boundary value Hamiltonian system on the Wasserstein space. We prove that generalized Hopf–Cole transformations are symplectic submersions in the Wasserstein symplectic geometry. Many examples, including a Hopf–Cole transformation for the shallow water equations, are given. Based on this transformation, energy splitting inequalities are provided.

Quantitatively identifying direct dependencies between variables is an important task in data analysis, in particular for reconstructing various types of networks and causal relations in science and engineering. One of the most widely used criteria is partial correlation, but it can only measure linearly direct association and miss nonlinear associations. However, based on conditional independence, conditional mutual information (CMI) is able to quantify nonlinearly direct relationships among variables from the observed data, superior to linear measures, but suffers from a serious problem of underestimation, in particular for those variables with tight associations in a network, which severely limits its applications. In this work, we propose a new concept, “partial independence,” with a new measure, “part mutual information” (PMI), which not only can overcome the problem of CMI but also retains the quantification properties of both mutual information (MI) and CMI. Specifically, we first defined PMI to measure nonlinearly direct dependencies between variables and then derived its relations with MI and CMI. Finally, we used a number of simulated data as benchmark examples to numerically demonstrate PMI features and further real gene expression data from Escherichia coli and yeast to reconstruct gene regulatory networks, which all validated the advantages of PMI for accurately quantifying nonlinearly direct associations in networks.