A distribution dependent refinement of Pinsker's inequality

  • Authors:
  • E. Ordentlich;M. J. Weinberger

  • Affiliations:
  • Hewlett-Packard Labs., Palo Alto, CA, USA;-

  • Venue:
  • IEEE Transactions on Information Theory
  • Year:
  • 2005

Quantified Score

Hi-index 754.90

Visualization

Abstract

Given two probability distributions Q and P, let ||Q-P||1 and D(Q||P), respectively, denote the L1 distance and divergence between Q and P. We derive a refinement of Pinsker's inequality of the form D(Q||P)≥c(P)||Q-P||12 and characterize the best P-dependent factor c(P). We apply the refined inequality to large deviations and measure concentration.