KLdiv {flexmix} | R Documentation |
Estimate the Kullback-Leibler divergence of several distributions.
## S4 method for signature 'matrix': KLdiv(object, eps=1e-4, ...)
object |
see Methods section below |
eps |
probabilities below this treshold are discarded for numerical stability |
... |
Passed to the matrix method. |
Estimates
int f(x) (log f(x) - log g(x)) dx
for distributions with densities f() and g().
A matrix of of KL divergences where the rows correspond to using the respective distribution as f() in the formula above.
Friedrich Leisch
S. Kullback and R. A. Leibler. On information and sufficiency. The Annals of Mathematical Statistics 22(1), pages 79-86, 1951.
Friedrich Leisch. Exploring the structure of mixture model components. In Jaromir Antoch, editor, Compstat 2004 - Proceedings in Computational Statistics, pages 1405-1412. Physika Verlag, Heidelberg, Germany, 2004. ISBN 3-7908-1554-3.
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)))