kld_exponential {kldest}

Analytical KL divergence for two univariate exponential distributions

Description

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

Usage

kld_exponential(lambda1, lambda2)

Arguments

lambda1

A scalar (rate parameter of true exponential distribution)

lambda2

A scalar (rate parameter of approximate exponential distribution)

Value

A scalar (the Kullback-Leibler divergence)

Examples

kld_exponential(lambda1 = 1, lambda2 = 2)