The duo Fenchel-Young divergence
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By calculating the Kullback-Leibler divergence between two probability measures belonging to different exponential families, we end up with a formula that generalizes the ordinary Fenchel-Young divergence. Inspired by this formula, we define the duo Fenchel-Young divergence and reports a majorization condition on its pair of generators which guarantees that this divergence is always non-negative. The duo Fenchel-Young divergence is also equivalent to a duo Bregman divergence. We show the use of these duo divergences by calculating the Kullback-Leibler divergence between densities of nested exponential families, and report a formula for the Kullback-Leibler divergence between truncated normal distributions. Finally, we prove that the skewed Bhattacharyya distance between nested exponential families amounts to an equivalent skewed duo Jensen divergence.
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