Symmetrizing the Kullback-Leibler Distance
Date
2001-03-20
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Abstract
We define a new distance measure - the resistor-average distance - between two probability distributions that is closely related to the Kullback-Leibler distance. While the Kullback-Leibler distance is asymmetric in the two distributions, the resistor-average distance is not. It arises from geometric considerations similar to those used to derive the Chernoff distance. Determining its relation to well-known distance measures reveals a newway to depict how commonly used distance measures relate to each other.
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Keywords
Kullback-Leibler distance, J-divergence, Ali-Silvey distance, informatin processing
Citation
D. Johnson and S. Sinanovic, "Symmetrizing the Kullback-Leibler Distance," IEEE Transactions on Information Theory, 2001.