Related papers: On the Kullback-Leibler divergence between discret…
Estimating the Kullback-Leibler (KL) divergence between two distributions given samples from them is well-studied in machine learning and information theory. Motivated by considerations of multi-group fairness, we seek KL divergence…
This paper deals with the problem of estimating predictive densities of a matrix-variate normal distribution with known covariance matrix. Our main aim is to establish some Bayesian predictive densities related to matricial shrinkage…
Estimating the Kullback-Leibler (KL) divergence between random variables is a fundamental problem in statistical analysis. For continuous random variables, traditional information-theoretic estimators scale poorly with dimension and/or…
There are many applications that benefit from computing the exact divergence between 2 discrete probability measures, including machine learning. Unfortunately, in the absence of any assumptions on the structure or independencies within…
The problem of estimating the Kullback-Leibler divergence $D(P\|Q)$ between two unknown distributions $P$ and $Q$ is studied, under the assumption that the alphabet size $k$ of the distributions can scale to infinity. The estimation is…
Estimating Kullback-Leibler divergence from identical and independently distributed samples is an important problem in various domains. One simple and effective estimator is based on the k nearest neighbor distances between these samples.…
We study Gaussian approximations to the distribution of a diffusion. The approximations are easy to compute: they are defined by two simple ordinary differential equations for the mean and the covariance. Time correlations can also be…
We study concentration inequalities for the Kullback--Leibler (KL) divergence between the empirical distribution and the true distribution. Applying a recursion technique, we improve over the method of types bound uniformly in all regimes…
The characteristic function of the folded normal distribution and its moment function are derived. The entropy of the folded normal distribution and the Kullback--Leibler from the normal and half normal distributions are approximated using…
In previous work the authors defined the k-th order simplicial distance between probability distributions which arises naturally from a measure of dispersion based on the squared volume of random simplices of dimension k. This theory is…
The Kullback-Leibler (KL) divergence is frequently used in data science. For discrete distributions on large state spaces, approximations of probability vectors may result in a few small negative entries, rendering the KL divergence…
In this work we introduce a family of transformations, named \textit{divergence transformations}, interpolating between any pair of probability density functions sharing the same support. We prove the remarkable property that the whole…
By calculating the Kullback-Leibler divergence between two probability measures belonging to different exponential families, we end up with a formula that generalizes the ordinary Fenchel-Young divergence. Inspired by this formula, we…
We propose a general algorithm for approximating nonstandard Bayesian posterior distributions. The algorithm minimizes the Kullback-Leibler divergence of an approximating distribution to the intractable posterior distribution. Our method…
Bayesian nonparametric statistics is an area of considerable research interest. While recently there has been an extensive concentration in developing Bayesian nonparametric procedures for model checking, the use of the Dirichlet process,…
The Kullback-Leibler divergence or relative entropy is an information-theoretic measure between statistical models that play an important role in measuring a distance between random variables. In the study of complex systems, random fields…
Selecting an appropriate divergence measure is a critical aspect of machine learning, as it directly impacts model performance. Among the most widely used, we find the Kullback-Leibler (KL) divergence, originally introduced in kinetic…
In this paper we provide the asymptotic theory of the general of $\phi$-divergences measures, which includes the most common divergence measures : Renyi and Tsallis families and the Kullback-Leibler measure. Instead of using the Parzen…
We consider the problem of sampling from a probability distribution $\pi$ which admits a density w.r.t. a dominating measure. It is well known that this can be written as an optimisation problem over the space of probability distributions…
Several scalable sample-based methods to compute the Kullback Leibler (KL) divergence between two distributions have been proposed and applied in large-scale machine learning models. While they have been found to be unstable, the…