Relationship between Hölder Divergence and Functional Density Power Divergence: Intersection and Generalization

Abstract: In this study, we discuss the relationship between two families of density-power-based divergences with functional degrees of freedom -- the H\"{o}lder divergence and the functional density power divergence (FDPD) -- based on their intersection and generalization. These divergence families include the density power divergence and the $\gamma$-divergence as special cases. First, we prove that the intersection of the H\"{o}lder divergence and the FDPD is limited to a general divergence family introduced by Jones et al. (Biometrika, 2001). Subsequently, motivated by the fact that H\"{o}lder's inequality is used in the proofs of nonnegativity for both the H\"{o}lder divergence and the FDPD, we define a generalized divergence family, referred to as the $\xi$-H\"{o}lder divergence. The nonnegativity of the $\xi$-H\"{o}lder divergence is established through a combination of the inequalities used to prove the nonnegativity of the H\"{o}lder divergence and the FDPD. Furthermore, we derive an inequality between the composite scoring rules corresponding to different FDPDs based on the $\xi$-H\"{o}lder divergence. Finally, we prove that imposing the mathematical structure of the H\"{o}lder score on a composite scoring rule results in the $\xi$-H\"{o}lder divergence.