Generalized Symmetric Divergence Measures and the Probability of Error

Abstract There are three classical divergence measures exist in the literature on information theory and statistics. These are namely, Jeffryes-Kullback-Leiber [6], [8] J-divergence. SibsonBurbea-Rao [9], [3] Jensen-Shannon divegernce and Taneja [11] Arithmetic-Geometric divergence. These three measures bear an interesting relationship among each other. The divergence measures like Hellinger [5] discrimination, symmetric χ2− divergence, and triangular discrimination are also known in the literature. In this paper, we have considered generalized symmetric divergence measures having the measures given above as particular cases. Bounds on the probability of error are obtained in terms of generalized symmetric divergence measures. Study of bounds on probability of error is extended for the difference of divergence measures.