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comparison toolboxes/FullBNT-1.0.7/KPMstats/KLgauss.m @ 0:e9a9cd732c1e tip

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first hg version after svn
author wolffd
date Tue, 10 Feb 2015 15:05:51 +0000
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comparison
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-1:000000000000 0:e9a9cd732c1e
1 function kl = KLgauss(P, Q)
2 %The following computes D(P||Q), the KL divergence between two zero-mean
3 %Gaussians with covariance P and Q:
4 % klDiv = -0.5*(log(det(P*inv(Q))) + trace(eye(N)-P*inv(Q)));
5
6 R = P*inv(Q);
7 kl = -0.5*(log(det(R))) + trace(eye(length(P))-R);
8
9 %To get MI, just set P=cov(X,Y) and Q=blockdiag(cov(X),cov(Y)).