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A closed-form formula for the Kullback-Leibler divergence between Cauchy distributions

Abstract : We report a closed-form expression for the Kullback-Leibler divergence between Cauchy distributions which involves the calculation of a novel definite integral. The formula shows that the Kullback-Leibler divergence between Cauchy densities is always finite and symmetric.
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Preprints, Working Papers, ...
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https://hal.inria.fr/hal-02420591
Contributor : Frédéric Chyzak Connect in order to contact the contributor
Submitted on : Friday, December 20, 2019 - 8:46:13 AM
Last modification on : Thursday, January 20, 2022 - 5:27:44 PM

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  • HAL Id : hal-02420591, version 1
  • ARXIV : 1905.10965

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Frédéric Chyzak, Frank Nielsen. A closed-form formula for the Kullback-Leibler divergence between Cauchy distributions. 2019. ⟨hal-02420591⟩

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