A stroll along the gamma

Abstract

We provide the first in-depth study of the "smart path" interpolation between an arbitrary probability measure and the gamma-$(\hat{I}\pm ,\hat{I}»)$ distribution. We propose new explicit representation formulae for the ensuing process as well as a new notion of relative Fisher information with a gamma target distribution. We use these results to prove a differential and an integrated De Bruijn identity which hold under minimal conditions, hereby extending the classical formulae which follow from Bakry, Emery and Ledoux's $\hat{I}“$-calculus. Exploiting a specific representation of the "smart path", we obtain a new proof of the logarithmic Sobolev inequality for the gamma law with $\hat{I}\pm \ge 1/2$ as well as a new type of HSI inequality linking relative entropy, Stein discrepancy and standardized Fisher information for the gamma law with $\hat{I}\pm \ge 1/2$.

Typos corrected