Central Limit Theorem on Symmetric Kullback-Leibler (KL) Divergence
Fuente:
arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866917577791373312 |
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| author | Rojas, Helder Logachov, Artem |
| author_facet | Rojas, Helder Logachov, Artem |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2401_16524 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Central Limit Theorem on Symmetric Kullback-Leibler (KL) Divergence Rojas, Helder Logachov, Artem Probability 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. |
| title | Central Limit Theorem on Symmetric Kullback-Leibler (KL) Divergence |
| topic | Probability |
| url | https://arxiv.org/abs/2401.16524 |