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We report closed-form formula for calculating the Chi square and higher-order Chi distances between statistical distributions belonging to the same exponential family with affine natural space, and instantiate those formula for the Poisson and isotropic Gaussian families.
L. D. Brown, Fundamentals of statistical exponential families: with applications in statistical decision theory . Hayworth, CA, USA: Institute of Mathematical Statistics, 1986
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N. Barnett, P. Cerone, S. Dragomir, and A. Sofo, “Approximating Csiszár f f -divergence by the use of Taylor’s formula with integral remainder,” Mathematical Inequalities & Applications , vol. 5, no. 3, pp. 417–434, 2002
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S.-i. Amari: “Alpha-divergence is unique, belonging to both f f -divergence and Bregman divergence classes,” IEEE Transactions on Information Theory , vol. 55, no. 11, pp. 4925–4931, 2009
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A. Cichocki and S.-i. Amari, “Families of alpha- beta- and gamma- divergences: Flexible and robust measures of similarities,” Entropy , vol. 12, no. 6, pp. 1532–1568, 2010
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F. Nielsen and S. Boltz, “The Burbea-Rao and Bhattacharyya centroids,” IEEE Transactions on Information Theory , vol. 57, no. 8, pp. 5455–5466, 2011
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F. Österreicher, “Distances based on the perimeter of the risk set of a testing problem,” Austrian Journal of Statistics , vol. 42, no. 1, p. 3.19, 2013
2013
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