A Distribution Dependent Refinement of Pinsker's Inequality

descriptionPublicationkeyboard_double_arrow_right Article , Conference object 23 Dec 2004 English Publisher:Institute of Electrical and Electronics Engineers (IEEE)Journal:IEEE Transactions on Information Theory, volume 51, pages 1,836-1,840 (issn: 0018-9448,

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Authors: Erik Ordentlich; Marcelo J. Weinberger;

doi: 10.1109/tit.2005.846407 , 10.1109/isit.2004.1365068

A Distribution Dependent Refinement of Pinsker's Inequality

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Abstract

Given two probability distributions Q and P, let /spl par/Q-P/spl par//sub 1/ and D(Q/spl par/P), respectively, denote the L/sub 1/ distance and divergence between Q and P. We derive a refinement of Pinsker's inequality of the form D(Q/spl par/P)/spl ges//spl phi/(P)/spl par/Q-P/spl par//sub 1//sup 2/ and characterize the best P-dependent factor /spl phi/(P).

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