KL_divergence {cvsem}

Compute KL-Divergence on two covariance matrices. KL-Divergence corresponds to the Maximum Wishart Likelihood (MWL) discrepancy described in (Cudeck and Browne 1983).

Description

Compute KL-Divergence on two covariance matrices. KL-Divergence corresponds to the Maximum Wishart Likelihood (MWL) discrepancy described in (Cudeck and Browne 1983).

Usage

KL_divergence(implied_sigma, test_S)

Arguments

implied_sigma

Model implied covariances matrix from training set

test_S

Sample covariance matrix from test set

Value

KL-Divergence index

References

Cudeck R, Browne MW (1983). “Cross-Validation Of Covariance Structures.” Multivariate Behavioral Research, 18, 147–167. doi:10.1207/s15327906mbr1802_2, https://www.tandfonline.com/doi/abs/10.1207/s15327906mbr1802_2.()