Kullback-Leibler Divergence

Source: R/stats.R

Computes the Kullback-Leibler divergence between two probability distributions.

kld(p, q, base = c("log", "log2", "log10"), margin = FALSE)

Arguments

p

numeric. probability distributions.
q

numeric. probability distributions.
base

character. log bases. "log", "log2", "log10". default is "log"
margin

logical. Choose whether to return individual values or totals. The default value is FALSE, which returns individual values.

Value

numeric. Kullback-Leibler divergence of probability distributions p and q.

See also

jsd.

Examples

# Sample data for probability distributions p.
event <- c(115, 76, 61, 39, 55, 10, 1)
no_event <- c(3, 3, 7, 10, 28, 44, 117)

p <- event / sum(event)
q <- no_event / sum(no_event)

kld(p, q)
#> [1]  1.00670753  0.57712559  0.28087582  0.09174581  0.02372228 -0.05609955 -0.01479923
kld(p, q, base = "log2")
#> [1]  1.45237196  0.83261623  0.40521815  0.13236123  0.03422402 -0.08093455 -0.02135077
kld(p, q, margin = TRUE)
#> [1] 1.909278