On Hölder projective divergences

14 Jan 2017Frank NielsenKe SunStéphane Marchand-Maillet

We describe a framework to build distances by measuring the tightness of inequalities, and introduce the notion of proper statistical divergences and improper pseudo-divergences. We then consider the H\"older ordinary and reverse inequalities, and present two novel classes of H\"older divergences and pseudo-divergences that both encapsulate the special case of the Cauchy-Schwarz divergence... (read more)

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