Results 1 to 4 of 4

Math Help - Kullback-Leibler distance for multivariate normal distribution

  1. #1
    Newbie
    Joined
    Sep 2009
    Posts
    8

    Question [SOLVED]Kullback-Leibler distance for multivariate normal distribution

    Hi, I recently need to use KL distance as optimization measure, and I have to derive an analytic result for the case of two multivariate normal distribution. Although there is one is the multivariate normal distribution in Wikipedia, I found some difficulties in arriving at the same formula. Could anybody give a little verbose version of this derivation? Or give some reference on this topic.

    Thanks for your appreciation!
    Last edited by wclayman; March 13th 2010 at 12:59 AM.
    Follow Math Help Forum on Facebook and Google+

  2. #2
    Newbie
    Joined
    Sep 2009
    Posts
    8
    I solved it myself, if anyone is interested, I'll post the solution.
    Follow Math Help Forum on Facebook and Google+

  3. #3
    Newbie
    Joined
    May 2010
    Posts
    2
    I am trying to derive the Kullback-Leibler divergence for multivariate normal distributions myself, and I would be very grateful if you could show how you arrived at the solution.
    Follow Math Help Forum on Facebook and Google+

  4. #4
    Newbie
    Joined
    May 2010
    Posts
    2
    I was closer to the finish line than I though, and I managed to arrive to the solution myself. Thanks anyway.
    Follow Math Help Forum on Facebook and Google+

Similar Math Help Forum Discussions

  1. calculation of distance using Kullback–Leibler divergence
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: March 3rd 2011, 03:08 AM
  2. Multivariate normal distribution
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: December 20th 2010, 11:28 AM
  3. Multivariate Normal Distribution
    Posted in the Advanced Statistics Forum
    Replies: 1
    Last Post: November 22nd 2009, 03:43 PM
  4. Multivariate Normal Distribution
    Posted in the Advanced Statistics Forum
    Replies: 6
    Last Post: October 16th 2009, 10:01 AM
  5. Proving - multivariate normal distribution
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: November 15th 2008, 01:01 AM

Search Tags


/mathhelpforum @mathhelpforum