Given that some sequence of random variables $X_n$ converge in distribution to $X$ and assuming that the distribution of all $X_n$ are absolutely continuous with respect to a Lebesgue measure, is there anything that we can say about $KL(p(X_n)|p(X))$?
2026-03-26 04:52:16.1774500736
Does convergence in distribution imply anything about the KL divergence?
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