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A General Class of Coefficients of Divergence of One Distribution from Another
Abstract
Summary: Let p1 and p2 be two probability measures on the same space and let φ be the generalized Radon-Nikodym derivative of p2 with respect to p1. If C is a continuous convex function of a real variable such that the p1-expectation (generalized as in Section 3) of C(φ) provides a reasonable coefficient of the p1-dispersion of φ, then this expectation has basic properties which it is natural to demand of a coefficient of divergence of p2 from p1. A general class of coefficients of divergence is generated in this way and it is shown that various available measures of divergence, distance, discriminatory information, etc., are members of this class.
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Metadata
- Authors
- Ali, S. M., & Silvey, S. D.
- Venue
- Journal of the Royal Statistical Society Series B: Statistical Methodology
- Publisher
- Oxford University Press (OUP)
- Published
- 1966-01-01
- Volume
- 28
- Issue
- 1
- Pages
- 131-142
- ISSN
- 1369-7412 (ISSN-L)
- 1467-9868
- OpenAlex
- W152055444
- Cited by
- 1,205
- References
- 0
- FWCI
- 1.39
- Type
- journal article
- Language
- en
- Open access
- closed
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- Ali, S. M., & Silvey, S. D. (1966). A General Class of Coefficients of Divergence of One Distribution from Another. Journal of the Royal Statistical Society Series B: Statistical Methodology. https://doi.org/10.1111/j.2517-6161.1966.tb00626.x
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