klDiv {PoolBal}

Compute the Kullback-Leibler divergence

Description

Computes the Kullback-Leibler divergence for two arbitrary densities f1 and f2.

Usage

klDiv(f1, f2, lower = 0, upper = 1)

Arguments

f1

density function of a real-valued random variable

f2

density function of a real-values random variable

lower

real value, the lower bound of integration

upper

real value, the upper bound of integration

Details

Given lower and upper bounds, this function integrates the expression for the Kullback-Leibler divergence KL(f1|f2).

Value

A real value.

Author(s)

Chris Salahub

Examples

klDiv(dunif, function(x) dbeta(x, 0.5, 1))