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A short note on an inequality between KL and TV

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arxiv 2202.07198 v2 pith:N6SQYSHA submitted 2022-02-15 math.PR math.STstat.TH

classification math.PRmath.STstat.TH
keywords inequalitydiscussnoteshortapparentlyapplicationsarguablybefore
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The goal of this short note is to discuss the relation between Kullback--Leibler divergence and total variation distance, starting with the celebrated Pinsker's inequality relating the two, before switching to a simple, yet (arguably) more useful inequality, apparently not as well known, due to Bretagnolle and Huber. We also discuss applications of this bound for minimax testing lower bounds.

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Cited by 5 Pith papers

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