Taxonomy of principal distances and divergences v/ Frank Nielsen.
We define duo Bregman divergences, duo Fenchel-Young divergences, duo Jensen divergences. We show how those divergences occur naturally when calculating the Kullback-Leibler divergence and skew Bhattacharyya distances between densities belonging to nested exponential families. We report the KLD between truncated normal distributions as a duo Bregman divergence. Demo code:
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