Bounds on Nonsymmetric Divergence Measure in terms of Other Symmetric and Nonsymmetric Divergence Measures

Vajda (1972) studied a generalized divergence measure of Csiszar's class, so called “Chi-m divergence measure.” Variational distance and Chi-square divergence are the special cases of this generalized divergence measure at m = 1 and m = 2, respectively. In this work, nonparametric nonsymmetric measure of divergence, a particular part of Vajda generalized divergence at m = 4, is taken and characterized. Its bounds are studied in terms of some well-known symmetric and nonsymmetric divergence measures of Csiszar's class by using well-known information inequalities. Comparison of this divergence with others is done. Numerical illustrations (verification) regarding bounds of this divergence are presented as well.