Bayesian sufficient statistics and invariance
Several new examples of divergences emerged in the recent literature called blended divergences. Mostly these examples are constructed by the modification or parametrization of the old well-known phi-divergences. Newly introduced parameter is often called blending parameter. In this paper we present compact theory of blended divergences which provides us with a generally applicable method for finding new classes of divergences containing any two divergences and given in advance. Several examples...
The concept of -divergences was introduced by Csiszár in 1963 as measures of the ‘hardness’ of a testing problem depending on a convex real valued function on the interval . The choice of this parameter can be adjusted so as to match the needs for specific applications. The definition and some of the most basic properties of -divergences are given and the class of -divergences is presented. Ostrowski’s inequality and a Trapezoid inequality are utilized in order to prove bounds for an extension...