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Mixed $f$-divergence for multiple pairs of measures

In this paper, the concept of the classical $f$-divergence for a pair of measures is extended to the mixed $f$-divergence for multiple pairs of measures. The mixed $f$-divergence provides a way to measure the difference between multiple pairs of (probability) measures. Properties for the mixed $f$-divergence are established, such as permutation invariance and symmetry in distributions. An Alexandrov-Fenchel type inequality and an isoperimetric inequality for the mixed $f$-divergence are proved.

preprint2016arXivOpen access
Elisabeth M. WernerDeping Ye
math.PR
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Open access2 authors1 topic
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
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Elisabeth M. WernerDeping Ye

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