kld | R Documentation |
Estimates the Kullback-Leibler Divergence which measures how one probability distribution diverges from the original distribution (equivalent means are assumed) Matrices must be positive definite inverse covariance matrix for accurate measurement. This is a relative metric
kld(base, test)
base |
Full or base model |
test |
Reduced or testing model |
A value greater than 0. Smaller values suggest the probability distribution of the reduced model is near the full model
Alexander Christensen <alexpaulchristensen@gmail.com>
Kullback, S., & Leibler, R. A. (1951). On information and sufficiency. The Annals of Mathematical Statistics, 22, 79-86.
A1 <- solve(cov(neoOpen)) ## Not run: A2 <- LoGo(neoOpen) kld_value <- kld(A1, A2) ## End(Not run)
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