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On ff-divergences between Cauchy distributions

IEEE Transactions on Information Theory (IEEE Trans. Inf. Theory), 2021
Abstract

We prove that the ff-divergences between univariate Cauchy distributions are always symmetric and can be expressed as functions of the chi-squared divergence. We show that this property does not hold anymore for multivariate Cauchy distributions. We then present several metrizations of ff-divergences between univariate Cauchy distributions.

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