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 deficiency… CONTINUE READING
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