Nothing
jeffreyspar <- function(mean1,var1,mean2,var2,check=FALSE)
{
# Jeffreys distance (Kullback-Leibler divergence) between two gaussian distributions
# when the parameters are given.
#
# x1, x2: the data.
p <- length(mean1)
if (p == 1)
{
if (check)
{
if(var1 < .Machine$double.eps | var2 < .Machine$double.eps)
stop("At least one variance is zero")
}
d <- mean1 - mean2
ivar1 <- 1/var1
ivar2 <- 1/var2
return(as.numeric((d^2*(ivar1+ivar2) - (var1-var2)*(ivar1-ivar2))/2))
} else {
if (check)
{
if(abs(det(var1)) < .Machine$double.eps | abs(det(var2)) < .Machine$double.eps)
stop("One of the sample variances is degenerate")
}
d <- mean1 - mean2
ivar1 <- solve(var1)
ivar2 <- solve(var2)
return(as.numeric((t(d)%*%(ivar1+ivar2)%*%d - sum(diag( (var1-var2)%*%(ivar1-ivar2) )))/2))
}
}
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