st: Searching for Kullback–Leiber divergence

["Michael C. Morrison" <Morrimic@niacc.edu>]

Tirthankar Chakravarty advised that I look into -multigof- for the 
Kullback–Leiber divergence. Thanks for the response but -multigof- is 
not what I'm looking for.

Kullback–Leiber divergence is sometimes referred to as 'relative 
entropy' or 'cross entropy'. The Kullback–Leiber divergence that I need 
summarizes the effect of location and shape changes on the overall 
relative distribution involving two continuous distributions. The 
Kullback–Leiber divergence has a simple interpretation in terms of the 
relative distribution, and it is decomposable into the location, shape 
and other components.

I have - reldist-. It  does a great job in plotting relative & 
cumulative pdfs, location/shape shift changes, polarization 
coefficients, but it doesn't provide a measure of the overall 
distributional difference between two distributions. That's where the 
The Kullback–Leiber divergence comes to the rescue. The advantage of the 
Kullback–Leiber divergence is that it is decomposable.

Hope this clarifies what I'm searching for.

Mike
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