A closed-form expression for the Sharma-Mittal entropy of exponential families

The Sharma-Mittal entropies generalize the celebrated Shannon, Rényi and Tsallis entropies. We report a closed-form formula for the Sharma-Mittal entropies and relative entropies for arbitrary exponential family distributions. We explicitly instantiate the formula for the case of the multivariate Gaussian distributions and discuss its estimation.