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Normalized information-based divergences

Jean-François Coeurjolly·Rémy Drouilhet·Jean-François Robineau
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Abstract

This paper is devoted to the mathematical study of some divergences based on the mutual information well-suited to categorical random vectors. These divergences are generalizations of the "entropy distance" and "information distance". Their main characteristic is that they combine a complexity term and the mutual information. We then introduce the notion of (normalized) information-based divergence, propose several examples and discuss their mathematical properties in particular in some prediction framework.

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Jean-François Coeurjolly, Rémy Drouilhet, Jean-François Robineau. 2006-11-13. Normalized information-based divergences. https://arxiv.org/abs/math/0604246

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