kl.div {yest}R Documentation

Kullback-Leibler Divergence

Description

Compute Kullback-Leibler divergence between two multivariate normal distributions.

Usage

kl.div(V0,mu0,V1,mu1=NA,inv=TRUE)

Arguments

V0 (inverse) variance matrix of the first distribution
mu0 expected value of the first distribution
V1 (inverse) variance matrix of the second distribution
mu1 expected value of the second distribution
inv whether V0 and V1 are inverse varience (TRUE) or variance (FALSE) matrices

Details

If mu1 is NA then a zero vector is taken as this parameter.

Examples

v1<-ind.rgauss(type=12)
v2<-ind.rgauss(type=50)
kl.div(v1,rep(0,4),v2)

[Package yest version 0.4-1 Index]