Material Detail

Kullback-Leibler Divergence Estimation of Continuous Distributions

Kullback-Leibler Divergence Estimation of Continuous Distributions

This video was recorded at NIPS Workshop on Representations and Inference on Probability Distributions, Whistler 2007. We present a universal method for estimating the KL divergence between continuous densities and we prove it converges almost surely. Divergence estimation is typically solved estimating the densities first. Our main result shows this intermediate step is unnecessary and that the divergence can be either estimated using the empirical cdf or k-nearest-neighbour density estimation, which does not converge to the true measure for finite k. The convergence proof is based on describing the statistics of our estimator using waiting-times distributions, as the exponential or Erlang. We illustrate the proposed estimators and show how they compare to existing methods based on density estimation, and we also outline how our divergence estimators can be used for solving the two-sample problem.


  • User Rating
  • Comments
  • Learning Exercises
  • Bookmark Collections
  • Course ePortfolios
  • Accessibility Info

More about this material


Log in to participate in the discussions or sign up if you are not already a MERLOT member.