[R] Kullback Liebler

[Gaye Hattem]

On 23 Apr 2006 Tolga Uzner wrote:

> Does anyone have an implementation of KL apart from what is in reldist
> ? Something with flexibility to take in empirical data for two sets,
> or their CDF or their density, flagged separately for each ?

There's a function in the package flexmix called KLdiv for finding the Kullback-Leibler 
Divergence that takes a matrix of the density values of the distributions 
as input.