klinfo {TSSS} | R Documentation |
Computes Kullback-Leibler information.
klinfo(distg = 1, paramg = c(0, 1), distf = 1, paramf, xmax = 10)
distg |
function for the true density (1 or 2).
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paramg |
parameter vector of true density. | ||||||||||||
distf |
function for the model density (1 or 2).
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paramf |
parameter vector of the model density. | ||||||||||||
xmax |
upper limit of integration. lower limit xmin = - |
nint |
number of function evaluation. |
dx |
delta. |
KLI |
Kullback-Leibler information, I(g;f). |
gint |
integration of g(y) over [- |
Kitagawa, G. (2010) Introduction to Time Series Modeling. Chapman & Hall/CRC.
# g:Gauss, f:Gauss klinfo(distg = 1, paramg = c(0, 1), distf = 1, paramf = c(0.1, 1.5), xmax = 8) # g:Gauss, f:Cauchy klinfo(distg = 1, paramg = c(0, 1), distf = 2, paramf = c(0, 1), xmax = 8)