Relative log-concavity and a pair of triangle inequalities

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DOI10.3150/09-BEJ216MaRDI QIDQ453271zbMATH OpenFDO

Authors Yaming Yu

Publication date 19 September 2012

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.2043, https://projecteuclid.org/euclid.bj/1274821079

zbMATH Keywords

maximum entropy minimum entropy relative entropy Poisson approximation Hoeffding's inequality binomial approximation Bernoulli sum negative binomial approximation

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Abstract: The relative log-concavity ordering

l e q_{m a t h r m l c}

between probability mass functions (pmf's) on non-negative integers is studied. Given three pmf's

f, g, h

that satisfy

f l e q_{m a t h r m l c} g l e q_{m a t h r m l c} h

, we present a pair of (reverse) triangle inequalities: if

s u m_{i} i f_{i} = s u m_{i} i g_{i} < i n f t y,

then [D(f|h)geq D(f|g)+D(g|h)] and if

s u m_{i} i g_{i} = s u m_{i} i h_{i} < i n f t y,

then [D(h|f)geq D(h|g)+D(g|f),] where

D (c d o t | c d o t)

denotes the Kullback--Leibler divergence. These inequalities, interesting in themselves, are also applied to several problems, including maximum entropy characterizations of Poisson and binomial distributions and the best binomial approximation in relative entropy. We also present parallel results for continuous distributions and discuss the behavior of

l e q_{m a t h r m l c}

under convolution.

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