A Sequence of Escort Distributions and Generalizations of Expectations on q-Exponential Family

Abstract

In the theory of complex systems, long tailed probability distributions are often discussed. For such a probability distribution, a deformed expectation with respect to an escort distribution is more useful than the standard expectation. In this paper, by generalizing such escort distributions, a sequence of escort distributions is introduced. As a consequence, it is shown that deformed expectations with respect to sequential escort distributions effectively work for anomalous statistics. In particular, it is shown that a Fisher metric on a q-exponential family can be obtained from the escort expectation with respect to the second escort distribution, and a cubic form (or an Amari–Chentsov tensor field, equivalently) is obtained from the escort expectation with respect to the third escort distribution.

Keywords

• escort distribution
• escort expectation
• statistical manifold
• deformed exponential family
• Tsallis statistics
• information geometry