Authors: Syed Mustafa Ali , S. D. Silvey - Journal of the Royal Statistical Society Series B (Statistical Methodology) 1966 cited by 1,230
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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