kld_exponential

This function computes \(D_{KL}(p||q)\), where \(p\sim \text{Exp}(\lambda_1)\)
and \(q\sim \text{Exp}(\lambda_2)\), in rate parametrization.

Estimation algorithms for Kullback-Leibler divergence between two probability
distributions, based on one or two samples, and including uncertainty quantification.
Distributions can be uni- or multivariate and continuous, discrete or mixed.

Niklas Hartung

kldest

Sample-Based Estimation of Kullback-Leibler Divergence

kld_exponential function

<dl><dt>lambda1</dt>
<dd>A scalar (rate parameter of true exponential distribution)</dd>
<dt>lambda2</dt>
<dd>A scalar (rate parameter of approximate exponential distribution)</dd></dl>

Arguments

Analytical KL divergence for two univariate exponential distributions — kld_exponential

<dl>

<dt>lambda1</dt>
<dd>A scalar (rate parameter of true exponential distribution)</dd>


<dt>lambda2</dt>
<dd>A scalar (rate parameter of approximate exponential distribution)</dd>

</dl>

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kld_exponential: Analytical KL divergence for two univariate exponential distributions

Description

Usage

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Arguments

Examples