Normalized information-based divergences

Details Normalized information-based divergences Normalized information-based divergences

2006-04-11

arxiv.org/abs/math/0604246v2

Mathematics

Statistics Theory

36 pages

Scientific paper

This paper is devoted to the mathematical study of some divergences based on the mutual information well-suited to categorical random vectors. These divergences are generalizations of the "entropy distance" and "information distance". Their main characteristic is that they combine a complexity term and the mutual information. We then introduce the notion of (normalized) information-based divergence, propose several examples and discuss their mathematical properties in particular in some prediction framework.

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