A closed-form formula for the Kullback-Leibler divergence between Cauchy distributions
Information Theory
2019-05-29 v2 Symbolic Computation
math.IT
Abstract
We report a closed-form expression for the Kullback-Leibler divergence between Cauchy distributions which involves the calculation of a novel definite integral. The formula shows that the Kullback-Leibler divergence between Cauchy densities is always finite and symmetric.
Cite
@article{arxiv.1905.10965,
title = {A closed-form formula for the Kullback-Leibler divergence between Cauchy distributions},
author = {Frédéric Chyzak and Frank Nielsen},
journal= {arXiv preprint arXiv:1905.10965},
year = {2019}
}
Comments
8 pages