Function to calculate KL divergence for continuous distributions using histograms — KL_divergence_hist • misc

Function to calculate KL divergence for continuous distributions using histograms

KL_divergence_hist(P, Q)

Arguments

P: Numeric vector representing the empirical distribution
Q: Numeric vector representing the theoretical distribution

Value

KL divergence between P and Q

Examples


P <- c(0.2, 0.3, 0.5)
Q <- c(0.1, 0.4, 0.5)
misc::KL_divergence_hist(P, Q)
#> [1] 0.05232481