On a unification of divergences by means of information amounts

DOI10.1016/S0034-4877(97)81468-1MaRDI QIDQ1373696zbMATH OpenOpenAlexFDO

Authors Manabu Miyata, Masashi Yamada, Tomoaki Kawaguchi

Publication date 6 September 1999

Published in Reports on Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0034-4877(97)81468-1

zbMATH Keywords

discriminating amount dissimilarity measure divergence

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Measures of information, entropy (94A17)

Review text

The paper is based on the idea that any \textit{dissimilarity measure} between two \textit{probability distributions} depends either on the difference or on the quotient of the density functions associated with these distributions. Then, on the basis of this key idea, the concept of \textit{discriminating amount} associated with the \textit{divergence} of probability distributions is presented, and several types of discriminating amounts are distinguished: Renyi's one and a unifying family. Jeffrey's invariant of the Renyi discriminating amount is considered to symmetrize it. This symmetrical measure is later employed to obtain some distances to present the notion of \textit{Renyi's infinitesimal discriminating amount}. A similar study is developed for the unified discriminating amount. Local properties on the statistical parameter space, as well as connections between the introduced and the reviewed measures are examined.

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