A closed-form formula for the Kullback-Leibler divergence between Cauchy distributions

Abstract

We report a closed-form expression for the Kullback-Leibler divergence between Cauchy distributions which involves the calculation of a novel definite integral. The formula shows that the Kullback-Leibler divergence between Cauchy densities is always finite and symmetric.

8 pages

Cited by in corpus (1)

• On Voronoi diagrams and dual Delaunay complexes on the information-geometric Cauchy manifolds