Expected Kullback-Leibler-based characterizations of score-driven updates
Fuente:
arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| author | de Punder, Ramon Dimitriadis, Timo Lange, Rutger-Jan |
| author_facet | de Punder, Ramon Dimitriadis, Timo Lange, Rutger-Jan |
| contents | Score-driven (SD) models are a standard tool in statistics and econometrics, with applications in hundreds of published articles in the past decade. We provide an information-theoretic characterization of SD updates based on reductions in the expected Kullback-Leibler (EKL) divergence relative to the true -- but unknown -- data-generating density. EKL reductions occur if and only if the expected update direction aligns with the expected score; i.e., their inner product should be positive. This equivalence condition uniquely identifies SD updates (including scaled or clipped variants) as being EKL reducing, even in non-concave, multivariate, and misspecified settings. We further derive explicit bounds on admissible learning rates in terms of score moments, linking SD methods to adaptive optimization techniques. By contrast, alternative performance measures in the literature impose stronger conditions (e.g., concave logarithmic densities) and do not characterize SD updates: other updating rules may improve these measures, while SD updates need not. Our results provide a rigorous justification for SD models and establish EKL as their natural information-theoretic foundation. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2408_02391 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Expected Kullback-Leibler-based characterizations of score-driven updates de Punder, Ramon Dimitriadis, Timo Lange, Rutger-Jan Statistics Theory Econometrics Score-driven (SD) models are a standard tool in statistics and econometrics, with applications in hundreds of published articles in the past decade. We provide an information-theoretic characterization of SD updates based on reductions in the expected Kullback-Leibler (EKL) divergence relative to the true -- but unknown -- data-generating density. EKL reductions occur if and only if the expected update direction aligns with the expected score; i.e., their inner product should be positive. This equivalence condition uniquely identifies SD updates (including scaled or clipped variants) as being EKL reducing, even in non-concave, multivariate, and misspecified settings. We further derive explicit bounds on admissible learning rates in terms of score moments, linking SD methods to adaptive optimization techniques. By contrast, alternative performance measures in the literature impose stronger conditions (e.g., concave logarithmic densities) and do not characterize SD updates: other updating rules may improve these measures, while SD updates need not. Our results provide a rigorous justification for SD models and establish EKL as their natural information-theoretic foundation. |
| title | Expected Kullback-Leibler-based characterizations of score-driven updates |
| topic | Statistics Theory Econometrics |
| url | https://arxiv.org/abs/2408.02391 |