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Divergence

Divergence

The Kullback-Leibler divergence between two random variables $X$ and $Y$ is defined by

$D(X, Y) = int_{R^d} f(x) text(log)((f(x)) / (g(x))) dx,$

where $f, g: RR^d -> RR$ are the probability density functions of $X$ and $Y$ , respectively. In TIM, the Kullback-Leibler divergence is abbreviated a divergence.

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Wang-Kulkarni-Verdu estimator