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Summary Let p1 and p2 be two probability measures on the same space and let φ be the generalized Radon-Nikodym derivative of p2 with respect to p1. If C is a continuous convex function of a real variable such that the p1-expectation (generalized as in Section 3) of C(φ) provides a reasonable coefficient of the p1-dispersion of φ, then this expectation has basic properties which it is natural to demand of a coefficient of divergence of p2 from p1. A general class of coefficients of divergence is generated in this way and it is shown that various available measures of divergence, distance, discriminatory information, etc., are members of this class.
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Syed Mustafa Ali
S. D. Silvey
Journal of the Royal Statistical Society Series B (Statistical Methodology)
University of Manchester
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Ali et al. (Sat,) studied this question.
www.synapsesocial.com/papers/69de773dbf539e2270558a46 — DOI: https://doi.org/10.1111/j.2517-6161.1966.tb00626.x