Sample-Based Estimation of Kullback-Leibler Divergence

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Documentation for package ‘kldest’ version 1.0.0

• DESCRIPTION file.
• Package NEWS.

Help Pages

combinations	Combinations of input arguments
constDiagMatrix	Constant plus diagonal matrix
convergence_rate	Empirical convergence rate of a KL divergence estimator
is_two_sample	Detect if a one- or two-sample problem is specified
kld_ci_bootstrap	Uncertainty of KL divergence estimate using Efron's bootstrap.
kld_ci_subsampling	Uncertainty of KL divergence estimate using Politis/Romano's subsampling bootstrap.
kld_discrete	Analytical KL divergence for two discrete distributions
kld_est	Kullback-Leibler divergence estimator for discrete, continuous or mixed data.
kld_est_brnn	Bias-reduced generalized k-nearest-neighbour KL divergence estimation
kld_est_discrete	Plug-in KL divergence estimator for samples from discrete distributions
kld_est_kde	Kernel density-based Kullback-Leibler divergence estimation in any dimension
kld_est_kde1	1-D kernel density-based estimation of Kullback-Leibler divergence
kld_est_kde2	2-D kernel density-based estimation of Kullback-Leibler divergence
kld_est_nn	k-nearest neighbour KL divergence estimator
kld_exponential	Analytical KL divergence for two univariate exponential distributions
kld_gaussian	Analytical KL divergence for two uni- or multivariate Gaussian distributions
kld_uniform	Analytical KL divergence for two uniform distributions
kld_uniform_gaussian	Analytical KL divergence between a uniform and a Gaussian distribution
mvdnorm	Probability density function of multivariate Gaussian distribution
to_uniform_scale	Transform samples to uniform scale
tr	Matrix trace operator
trapz	Trapezoidal integration in 1 or 2 dimensions