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Central Limit Theorem on Symmetric Kullback-Leibler (KL) Divergence
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Central Limit Theorem on Symmetric Kullback-Leibler (KL) Divergence
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Paper
Central Limit Theorem on Symmetric Kullback-Leibler (KL) Divergence
2024
Overview
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.
Publisher
Cornell University Library, arXiv.org
Subject
