Rtreemix (version 1.34.0)

kullback.leibler: Kullback-Leibler divergence

Description

A function for calculating the Kullback-Leibler divergence between two discrete probability distributions. The vectors specifying the probability distributions must have the same length.

Usage

kullback.leibler(p, q)

Arguments

p

A numeric vector specifying the the first probability distribution. It has to have the same length as q.

q

A numeric vector specifying the the second probability distribution.

Value

The function returns the Kullback-Leibler divergence between the two specified descrete probability distributions.

Warning

The function does not check whether the values in the vectors specifying the discrete probability distributions sum up to one.

See Also

L1.dist, L2.norm, stability.sim

Examples

## Define two discrete probability distributions with equal lengths.
p <- c(0.1, 0.2, 0.3, 0.4)
q <- c(0.2, 0.5, 0.1, 0.2)

## Calculate the Kullback-Leibler divergence
## between the probability distributions p and q
kullback.leibler(p, q)