A note on integral probability metrics and $\phi$divergences
ABSTRACT We study some connections between integral probability metrics (21) of the form,
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Conference Paper: A Kernel Method for the TwoSampleProblem.
Advances in Neural Information Processing Systems 19, Proceedings of the Twentieth Annual Conference on Neural Information Processing Systems, Vancouver, British Columbia, Canada, December 47, 2006; 01/2006  [Show abstract] [Hide abstract]
ABSTRACT: We introduce a metric for probability distributions, which is bounded, informationtheoretically motivated, and has a natural Bayesian interpretation. The square root of the wellknown χ<sup>2</sup> distance is an asymptotic approximation to it. Moreover, it is a close relative of the capacitory discrimination and JensenShannon divergence.IEEE Transactions on Information Theory 08/2003; 49(749):1858  1860. DOI:10.1109/TIT.2003.813506 · 2.65 Impact Factor 