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A closed-form formula for the Kullback-Leibler divergence between Cauchy distributions (1905.10965v2)
Published 27 May 2019 in cs.IT, cs.SC, and math.IT
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.