Relative log-concavity and a pair of triangle inequalities

DOI10.3150/09-BEJ216zbMATH Open1248.60028arXiv1010.2043MaRDI QIDQ453271FDOQ453271

Yaming Yu

Publication date: 19 September 2012

Published in: Bernoulli (Search for Journal in Brave)

Abstract: The relative log-concavity ordering $le{q}_{mathrmlc}$ between probability mass functions (pmf's) on non-negative integers is studied. Given three pmf's $f,g,h$ that satisfy $fle{q}_{mathrmlc}gle{q}_{mathrmlc}h$, we present a pair of (reverse) triangle inequalities: if $su{m}_{i}i{f}_i=su{m}_{i}i{g}_i<infty,$ then [D(f|h)geq D(f|g)+D(g|h)] and if $su{m}_{i}i{g}_i=su{m}_{i}i{h}_i<infty,$ then [D(h|f)geq D(h|g)+D(g|f),] where $D(cdot|cdot)$ 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 $le{q}_{mathrmlc}$ under convolution.

Full work available at URL: https://arxiv.org/abs/1010.2043

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zbMATH Keywords

maximum entropyminimum entropyrelative entropyPoisson approximationHoeffding's inequalitybinomial approximationBernoulli sumnegative binomial approximation

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

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Cited In (10)

• On the inclusion probabilities in some unequal probability sampling plans without replacement
• A novel single-gamma approximation to the sum of independent gamma variables, and a generalization to infinitely divisible distributions
• On relative log-concavity and stochastic comparisons
• Aging notions, stochastic orders, and expected utilities
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• PRESERVATION OF LOG-CONCAVITY AND LOG-CONVEXITY UNDER OPERATORS
• Some stochastic inequalities for weighted sums
• Relaxed triangle inequality ratio of the Sørensen-Dice and Tversky indexes
• Log-concavity of rows of Pascal type triangles

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