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Abstract:We prove the correspondence between the information geometry of a signal filter and a Kähler manifold. The information geometry of a minimum-phase linear system with a finite complex cepstrum norm is a Kähler manifold. The square of the complex cepstrum norm of the signal filter corresponds to the Kähler potential. The Hermitian structure of the Kähler manifold is explicitly emergent if and only if the impulse response function of the highest degree in z is constant in model parameters. The Kählerian information geometry takes advantage of more efficient calculation steps for the metric tensor and the Ricci tensor. Moreover, α-generalization on the geometric tensors is linear in α. It is also robust to find Bayesian predictive priors, such as superharmonic priors, because Laplace-Beltrami operators on Kähler manifolds are in much simpler forms than those of the non-Kähler manifolds. Several time series models are studied in the Kählerian information geometry.

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