Asymptotic and finite-sample distributions of one- and two-sample empirical relative entropy

In the perspective of building statistical tests of divergence between two probability distributions, we study the distribution of empirical relative entropy and derive several types of approximations: concentration inequalities for finite samples, asymptotic distributions, and Berry-Esseen bounds in a pre-asymptotic regime.

For the latter, we introduce a new approach to obtain Berry-Esseen inequalities for nonlinear functions of sum statistics under some convexity assumptions.

Our theoretical contributions cover both one- and two-sample empirical relative entropies.