An algebraic generalization of the entropy and its application to statistics

Abstract

We define a general notion of entropy in elementary, algebraic terms. Based on that, weak forms of a scalar product and a distance measure are derived. We give basic properties of these quantities, generalize the Cauchy-Schwarz inequality, and relate our approach to the theory of scoring rules. Many supporting examples illustrate our approach and give new perspectives on established notions, such as the likelihood, the Kullback-Leibler divergence, the uncorrelatedness of random variables, the scalar product itself, the Tichonov regularization and the mutual information.