Renyi's divergence and entropy rates for finite alphabet Markov sources

Abstract

In this work, we examine the existence and the computation of the Renyi divergence rate, lim/sub n/spl rarr//spl infin// 1/n D/sub /spl alpha//(p/sup (n)//spl par/q/sup (n)/), between two time-invariant finite-alphabet Markov sources of arbitrary order and arbitrary initial distributions described by the probability distributions p/sup (n)/ and q/sup (n)/, respectively. This yields a generalization of a result of Nemetz (1974) where he assumed that the initial probabilities under p/sup (n)/ and q/sup (n)/ are strictly positive. The main tools used to obtain the Renyi divergence rate are the theory of nonnegative matrices and Perron-Frobenius theory. We also provide numerical examples and investigate the limits of the Renyi divergence rate as /spl alpha//spl rarr/1 and as /spl alpha//spl darr/0. Similarly, we provide a formula for the Renyi entropy rate lim/sub n/spl rarr//spl infin// 1/n H/sub /spl alpha//(p/sup (n)/) of Markov sources and examine its limits as /spl alpha//spl rarr/1 and as /spl alpha//spl darr/0. Finally, we briefly provide an application to source coding.