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notation is simplified
Jeff
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Regarding a new divergence function of two probability distributions

Let $X$ and $Y$ be two continuous random variables with common support and with PDF $f(x)$ and $g(y)$. For any constant $b$ with the support of $X$ and $Y$, and any constant $0 \leq \alpha \leq 1$, we define \begin{equation} D_{\alpha,\beta}(f \| g) = 1 - \alpha \Pr[X \leq b \mid Y>\beta ] - ( 1- \alpha) \Pr[X > b \mid Y\leq\beta ] \:. \end{equation} Two questions:

  1. Is $D_{\alpha,\beta}(f \| g)$ a divergence of distribution $f$ from $g$ at point $\beta$?

  2. Is there any relationship between this divergence measure and the well-known measures?

Jeff
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