klDiv: Compute the Kullback-Leibler divergence

In PoolBal: Balancing Central and Marginal Rejection of Pooled p-Values

Compute the Kullback-Leibler divergence

Description

Computes the Kullback-Leibler divergence for two arbitrary densities f1 and f2.

Usage

klDiv(f1, f2, lower = 0, upper = 1)

Arguments

f1	density function of a real-valued random variable
f2	density function of a real-values random variable
lower	real value, the lower bound of integration
upper	real value, the upper bound of integration

Details

Given lower and upper bounds, this function integrates the expression for the Kullback-Leibler divergence KL(f1|f2).

Value

A real value.

Author(s)

Chris Salahub

Examples

klDiv(dunif, function(x) dbeta(x, 0.5, 1))

PoolBal documentation built on Nov. 22, 2023, 5:07 p.m.