Cramér--Rao Inequalities for Several Generalized Fisher Information

The de Bruijn identity states that Fisher information is the half of the derivative of Shannon differential entropy along heat flow. In the same spirit, in this paper we introduce a generalized version of Fisher information, named as the R\'enyi--Fisher information, which is the half of the derivative of R\'enyi information along heat flow. Based on this R\'enyi--Fisher information, we establish sharp R\'enyi-entropic isoperimetric inequalities, which generalize the classic entropic isoperimetric inequality to the R\'enyi setting. Utilizing these isoperimetric inequalities, we extend the classical Cram\'er--Rao inequality from Fisher information to R\'enyi--Fisher information. Lastly, we use these generalized Cram\'er--Rao inequalities to determine the signs of derivatives of entropy along heat flow, strengthening existing results on the complete monotonicity of entropy.