KLdiv {flexmix}R Documentation

Kullbach Leibler Divergence

Description

Estimate the Kullbach Leibler divergence of several distributions.

Usage

KLdiv(object, ...)
## S4 method for signature 'matrix':
KLdiv(object, eps=1e-4, ...)

Arguments

object see Methods section below
eps probabilities below this treshold are discarded for numerical stability
... Passed to the matrix method.

Details

Estimates

int f(x) (log f(x) - log g(x)) dx

for distributions with densities f() and g().

Value

A matrix of of KL divergences where the rows correspond to using the respective distribution as f() in the formula above.

Methods

object = "matrix":
Takes as input a matrix of density values with one row per observation and one column per distribution.
object = "flexmix":
Returns the Kullbach Leibler divergence of the mixture components.

Author(s)

Friedrich Leisch

References

Friedrich Leisch. Exploring the structure of mixture model components. In Compstat 2004 – Proceedings in Computational Statistics, 2004. Accepted for publication.

Examples

x = (1:100)/100
## Gaussian and Student t are much closer to each other than
## to the uniform:
KLdiv(cbind(u=dunif(x), n=dnorm(x), t=dt(x, df=10)))

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