On f-Divergences Between Cauchy Distributions

DOI10.1109/TIT.2022.3231645MaRDI QIDQ6197487zbMATH OpenFDO

Authors Frank Nielsen, Kazuki Okamura

Publication date 19 March 2024

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2101.12459

zbMATH Keywords

\(f\)-divergencesCauchy distributionscomplex analysisconditionally negative-definite kernellocation-scale familiesmaximal invariantMöbius transformations

Mathematics Subject Classification ID

Information and communication theory, circuits (94-XX)

Abstract: We prove that the $f$-divergences between univariate Cauchy distributions are all symmetric, and can be expressed as strictly increasing scalar functions of the symmetric chi-squared divergence. We report the corresponding scalar functions for the total variation distance, the Kullback-Leibler divergence, the squared Hellinger divergence, and the Jensen-Shannon divergence among others. Next, we give conditions to expand the $f$-divergences as converging infinite series of higher-order power chi divergences, and illustrate the criterion for converging Taylor series expressing the $f$-divergences between Cauchy distributions. We then show that the symmetric property of $f$-divergences holds for multivariate location-scale families with prescribed matrix scales provided that the standard density is even which includes the cases of the multivariate normal and Cauchy families. However, the $f$-divergences between multivariate Cauchy densities with different scale matrices are shown asymmetric. Finally, we present several metrizations of $f$-divergences between univariate Cauchy distributions and further report geometric embedding properties of the Kullback-Leibler divergence.

Cited in

(4)

• On the f-divergences between hyperboloid and Poincaré distributions
• On the f-divergences between densities of a multivariate location or scale family
• Information measures and geometry of the hyperbolic exponential families of Poincaré and hyperboloid distributions
• Metrization of powers of the Jensen-Shannon divergence.

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