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Wang-Kulkarni-Verdu estimator

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The Wang-Kulkarni-Verdu divergence estimator is a non-parametric estimator based on k:th nearest neighbors of sample sets.

References

A Nearest-Neighbor Approach to Estimating Divergence between Continuous Random Vectors,
Qing Wang, Sanjeev R. Kulkarni, Sergio Verdu,
IEEE International Symposium on Information Theory (ISIT), 2006.

Files

Kullback-Leibler divergence estimation

Wang-Kulkarni-Verdu nearest neighbor estimator

Kullback-Leibler divergence estimation

Wang-Kulkarni-Verdu nearest neighbor estimator

divergence_wkv