kl.dist: Compute the Kullback-Leibler distance between two probability...
In zatonovo/kingsmen: A technique for detecting regime change in irregular time series

Compute the Kullback-Leibler distance between two probability distributions.

1	kl.dist(p, q)

`p`	A probability density or mass function
`q`	A probability density or mass function

Brian Lee Yung Rowe

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x <- dnorm(dnorm(seq(-10,10, 0.2)), 1, 2)
y <- dnorm(dnorm(seq(-10,10, 0.2)), 0, 3)
d <- kl.dist(x,y)

zatonovo/kingsmen documentation built on May 4, 2019, 9:11 p.m.

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