Information-type divergence when the likelihood ratios are bounded

• Autorzy: Andrew L. Rukhin
• Języki publikacji: EN

Abstrakty

EN

The so-called ϕ-divergence is an important characteristic describing "dissimilarity" of two probability distributions. Many traditional measures of separation used in mathematical statistics and information theory, some of which are mentioned in the note, correspond to particular choices of this divergence. An upper bound on a ϕ-divergence between two probability distributions is derived when the likelihood ratio is bounded. The usefulness of this sharp bound is illustrated by several examples of familiar ϕ-divergences. An extension of this inequality to ϕ-divergences between a finite number of probability distributions with pairwise bounded likelihood ratios is also given.

Słowa kluczowe

EN

information measures; multiple decisions; convexity; likelihood ratio

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 1996-1997
• Tom: 24
• Numer: 4
• Strony: 415-423

Daty

wydano

1997

otrzymano

1996-09-16

poprawiono

1996-12-10

Twórcy

autor

Andrew L. Rukhin

• Department of Mathematics and Statistics, University of Maryland at Baltimore County, 1000 Hilltop Circle, Baltimore, Maryland 21250, U.S.A.

Bibliografia

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