Exact Expressions for Kullback-Leibler Divergence for Multivariate and Matrix-Variate Distributions

被引：0
|
作者：
Nawa, Victor [1 ]
Nadarajah, Saralees [2 ]
机构：
[1] Univ Zambia, Dept Math & Stat, Lusaka 10101, Zambia
[2] Univ Manchester, Dept Math, Manchester M13 9PL, England
来源：
ENTROPY | 2024年 / 26卷 / 08期
关键词：
beta function; gamma function; matrix-variate beta function; matrix-variate confluent hypergeometric function; matrix-variate gamma function; matrix-variate Gauss hypergeometric function; matrix-variate type I Dirichlet density; type I Dirichlet density;
D O I：
10.3390/e26080663
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
The Kullback-Leibler divergence is a measure of the divergence between two probability distributions, often used in statistics and information theory. However, exact expressions for it are not known for multivariate or matrix-variate distributions apart from a few cases. In this paper, exact expressions for the Kullback-Leibler divergence are derived for over twenty multivariate and matrix-variate distributions. The expressions involve various special functions.
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页数：29
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