Entropies, cross-entropies and Rényi divergence: sharp three-term inequalities for probability density functions
This paper establishes a new sharp three-term inequality linking differential Rényi entropy, Rényi divergence, and Rényi cross-entropy for probability density functions, demonstrating that equality holds when one density is an escort of the other and using this result to derive further sharp bounds involving various informational functionals like absolute moments and Fisher information.