A short note on an inequality between KL and TV

Published 15 Feb 2022 in math.PR, math.ST, and stat.TH | (2202.07198v2)

Abstract: The goal of this short note is to discuss the relation between Kullback--Leibler divergence and total variation distance, starting with the celebrated Pinsker's inequality relating the two, before switching to a simple, yet (arguably) more useful inequality, apparently not as well known, due to Bretagnolle and Huber. We also discuss applications of this bound for minimax testing lower bounds.

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Clément L. Canonne

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