Revisiting Chernoff Information with Likelihood Ratio Exponential Families

. 2022 Oct 1;24(10):1400. doi: 10.3390/e24101400

Algorithm 3 Dichotomic search for approximating the Chernoff information between two multivariate normal distributions

p_{μ_{1}, Σ_{1}}

and

p_{μ_{2}, Σ_{2}}

by approximating the optimal skewing parameter value

α \approx α^{*}