Maximum likelihood estimation for the $\hat{I}»$-exponential family

Abstract

The $\hat{I}»$-exponential family generalizes the standard exponential family via a generalized convex duality motivated by optimal transport. It is the constant-curvature analogue of the exponential family from the information-geometric point of view, but the development of computational methodologies is still in an early stage. In this paper, we propose a fixed point iteration for maximum likelihood estimation under i.i.d.~sampling, and prove using the duality that the likelihood is monotone along the iterations. We illustrate the algorithm with the $q$-Gaussian distribution and the Dirichlet perturbation.

9 pages, 2 figures