Central Limit Theorem on Symmetric Kullback-Leibler (KL) Divergence
arxiv(2024)
摘要
In this paper we provide an asymptotic theory for the symmetric version of
the Kullback–Leibler (KL) divergence. We define a estimator for this
divergence and study its asymptotic properties. In particular, we prove Law of
Large Numbers (LLN) and the convergence to the normal law in the Central Limit
Theorem (CLT) using this estimator.
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