jeffreys {dad} | R Documentation |
Jeffreys measure between Gaussian densities
Description
Jeffreys measure (or symmetrised Kullback-Leibler divergence) between two multivariate (p > 1
) or univariate (p = 1
) Gaussian densities given samples (see Details).
Usage
jeffreys(x1, x2, check = FALSE)
Arguments
x1 |
a matrix or data frame of |
x2 |
matrix or data frame (or tibble) of |
check |
logical. When |
Details
The Jeffreys measure between the two Gaussian densities is computed by using the jeffreyspar
function and the density parameters estimated from samples.
Value
Returns the Jeffrey's measure between the two probability densities.
Be careful! If check = FALSE
and one smoothing bandwidth matrix is degenerate, the result returned must not be considered.
Author(s)
Rachid Boumaza, Pierre Santagostini, Smail Yousfi, Gilles Hunault, Sabine Demotes-Mainard
References
Thabane, L., Safiul Haq, M. (1999). On Bayesian selection of the best population using the Kullback-Leibler divergence measure. Statistica Neerlandica, 53(3): 342-360.
See Also
jeffreyspar: Jeffreys measure between Gaussian densities, given their parameters.
Examples
require(MASS)
m1 <- c(0,0)
v1 <- matrix(c(1,0,0,1),ncol = 2)
m2 <- c(0,1)
v2 <- matrix(c(4,1,1,9),ncol = 2)
x1 <- mvrnorm(n = 3,mu = m1,Sigma = v1)
x2 <- mvrnorm(n = 5, mu = m2, Sigma = v2)
jeffreys(x1, x2)