Questions tagged [f-divergence]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
1 vote
1 answer
66 views

How to derive the Jensen-Shannon divergence from the f-divergence?

The Jensen-Shannon divergence is defined as $$JS(p, q) = \frac{1}{2}\left(KL\left(p||\frac{p+q}{2}\right) + KL\left(q||\frac{p+q}{2}\right) \right).$$ In Wikipedia it says that it can be derived from ...
0 votes
0 answers
8 views

What does the corresponding f(t) mean with respect to f-divergences?

In terms of f-divergences, what does the corresponding $f(t)$ refer to, what does it mean and why is it important? For example, with the KL-divergence the corresponding $f(t)$ is ${t \ log \ t}$. I ...
  • 633
4 votes
1 answer
149 views

What to consider when choosing between f-divergence measures? (e.g.: kl-divergence, chi-square divergence, etc.)

I have some baseline population, and I have a non random sample from that population. For both the population and the sample I have observation of some measure (for simplicity, let's say age). I would ...
  • 20.6k