Central Limit Theorem on Symmetric Kullback-Leibler (KL) Divergence
Probability
2024-01-31 v1
Abstract
In this paper we provide an asymptotic theory for the symmetric version of the Kullback--Leibler (KL) divergence. We define a estimator for this divergence and study its asymptotic properties. In particular, we prove Law of Large Numbers (LLN) and the convergence to the normal law in the Central Limit Theorem (CLT) using this estimator.
Cite
@article{arxiv.2401.16524,
title = {Central Limit Theorem on Symmetric Kullback-Leibler (KL) Divergence},
author = {Helder Rojas and Artem Logachov},
journal= {arXiv preprint arXiv:2401.16524},
year = {2024}
}
Comments
14 pages