Large deviations of divergence measures on partitions

Jan Beirlant, Luc Devroye, László Györfi, Igor Vajda

Research output: Contribution to journalArticle

29 Citations (Scopus)

Abstract

We discuss Chernoff-type large deviation results for the total variation, the I-divergence errors, and the χ2-divergence errors on partitions. In contrast to the total variation and the I-divergence, the χ2-divergence has an unconventional large deviation rate. Applications to Bahadur efficiencies of goodness-of-fit tests based on these divergence measures for multivariate observations are given.

Original languageEnglish
Pages (from-to)1-16
Number of pages16
JournalJournal of Statistical Planning and Inference
Volume93
Issue number1-2
DOIs
Publication statusPublished - Feb 1 2001

Keywords

  • 62G10
  • Bahadur exact slope
  • Goodness-of-fit
  • I-divergence
  • Large deviations
  • Partitions
  • Total variation
  • χ -divergence

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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