On Divergences and Informations in Statistics and Information Theory

@article{Liese2006OnDA,
title={On Divergences and Informations in Statistics and Information Theory},
author={F. Liese and Igor Vajda},
journal={IEEE Transactions on Information Theory},
year={2006},
volume={52},
pages={4394-4412}
}

The paper deals with the f-divergences of Csiszar generalizing the discrimination information of Kullback, the total variation distance, the Hellinger divergence, and the Pearson divergence. All basic properties of f-divergences including relations to the decision errors are proved in a new manner replacing the classical Jensen inequality by a new generalized Taylor expansion of convex functions. Some new properties are proved too, e.g., relations to the statistical sufficiency and deficiencyâ€¦Â CONTINUE READING