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arXiv · 2001.10872

A scale-dependent notion of effective dimension

Abstract

We introduce a notion of "effective dimension" of a statistical model based on the number of cubes of size $1/\sqrt{n}$ needed to cover the model space when endowed with the Fisher Information Matrix as metric, $n$ being the number of observations. The number of observations fixes a natural scale or resolution. The effective dimension is then measured via the spectrum of the Fisher Information Matrix regularized using this natural scale.

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BibTeXRIS

Oksana Berezniuk, Alessio Figalli, Raffaele Ghigliazza, Kharen Musaelian. 2020-01-29. A scale-dependent notion of effective dimension. https://arxiv.org/abs/2001.10872

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