Local Pinsker inequalities via Stein's discrete density approach

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Pinsker's inequality states that the relative entropy dKL(X, Y) between two random variables X and Y dominates the square of the total variation distance dTV(X,Y) between X and Y. In this paper we introduce generalized Fisher information distances J(X, Y) between discrete distributions X and Y and prove that these also dominate the square of the total variation distance. To this end we introduce a general discrete Stein operator for which we prove a useful covariance identity. We illustrate our approach with several examples. Whenever competitor inequalities are available in the literature, the constants in ours are at least as good, and, in several cases, better.