A note on the geometry of kullback-leibler information numbers

Abstract

Csiszar (1975) has shown thdt kullhack-Leibler information numbers possess some geometrical properties much like those in Euclidean geometry. Thls paper extends these results by characterizing the shortest line between two ditributions as well as the midpoit of the line.

Keywords:

• Kullback-Leibler information
• geometry of probability distributions
• minimax
• embedding