Axiomatic Characterization of A Family of Information Measures That Contains the Directed Divergences.
NAVAL RESEARCH LAB WASHINGTON D C
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Let p and q be probability densities. The directed divergences of p and q are given by the integral px log pxqxdx and by the same expression with p and q interchanged the divergence is the sum of the directed divergences. These quantities have applications in information theory and to the problem of assigning prior probabilities subject to constraints. In this report, it is shown that the directed divergences and their positive linear combinations, including the divergence, are characterized by axioms of positivity, additivity, and finiteness in the course of the proof, the latter two are shown to imply yet another axiom imvariance. These axioms are fundamental in work on prior probabilities. It has been claimed that they characterize only constant multiples of the single directed divergence that claim is here refuted.
- Statistics and Probability