Jeffrey: Jeffrey Distance

In patrickreidy/distdist: Distances on Distributions

Description

Compute the Jeffrey distance between two probability distributions.

Usage

## S4 method for signature 'Distribution,Distribution'
Jeffrey(p1, p2)

Arguments

p1, p2

Distributions.

Details

Let p1 and p2 denote the vectors of probability mass assigned by two distributions defined on the same state space; furthermore, let these distributions be strictly positively-valued. Then, the Jeffrey distance between p1 and p2 is given by KullbackLeibler(p1, p2) + KullbackLeibler(p2, p1).

Jeffrey distance is a symmetric function based on Kullback-Leibler divergence. It is the sum of the Kullback-Leibler divergence of each distribution from the other.

Value

The Jeffrey distance between p1 and p2.

See Also

Kullback-Leibler

patrickreidy/distdist documentation built on May 22, 2019, 12:40 p.m.