MyJournals Home  

RSS FeedsEntropy, Vol. 24, Pages 1400: Revisiting Chernoff Information with Likelihood Ratio Exponential Families (Entropy)

 
 

1 october 2022 09:10:37

 
Entropy, Vol. 24, Pages 1400: Revisiting Chernoff Information with Likelihood Ratio Exponential Families (Entropy)
 


The Chernoff information between two probability measures is a statistical divergence measuring their deviation defined as their maximally skewed Bhattacharyya distance. Although the Chernoff information was originally introduced for bounding the Bayes error in statistical hypothesis testing, the divergence found many other applications due to its empirical robustness property found in applications ranging from information fusion to quantum information. From the viewpoint of information theory, the Chernoff information can also be interpreted as a minmax symmetrization of the Kullback–Leibler divergence. In this paper, we first revisit the Chernoff information between two densities of a measurable Lebesgue space by considering the exponential families induced by their geometric mixtures: The so-called likelihood ratio exponential families. Second, we show how to (i) solve exactly the Chernoff information between any two univariate Gaussian distributions or get a closed-form formula using symbolic computing, (ii) report a closed-form formula of the Chernoff information of centered Gaussians with scaled covariance matrices and (iii) use a fast numerical scheme to approximate the Chernoff information between any two multivariate Gaussian distributions.


 
48 viewsCategory: Informatics, Physics
 
Entropy, Vol. 24, Pages 1399: Dynamic Mixed Data Analysis and Visualization (Entropy)
Entropy, Vol. 24, Pages 1401: Selected Data Mining Tools for Data Analysis in Distributed Environment (Entropy)
 
 
blog comments powered by Disqus


MyJournals.org
The latest issues of all your favorite science journals on one page

Username:
Password:

Register | Retrieve

Search:

Physics


Copyright © 2008 - 2022 Indigonet Services B.V.. Contact: Tim Hulsen. Read here our privacy notice.
Other websites of Indigonet Services B.V.: Nieuws Vacatures News Tweets Nachrichten