Re: [R] Entropy/KL-Distance question

From: David Hewitt <dhewitt37_at_gmail.com>
Date: Fri, 11 Jan 2008 11:52:45 -0800 (PST)

> I have the CDF of a discrete probability distribution. I now observe a
> change in this CDF at one point. I would like to find a new CDF such that
> it has the shortest Kullback-Leibler Distance to the original CDF and
> respects my new observation. Is there an existing package in R which will
> let me do this ?
>

I don't fully understand your question. But, AIC (or AICc) could be used to find which of two probability distributions has the shortest K-L distance in summarizing the data (closest to truth). I have a feeling you're looking for something more specific, and if so I'm not the one to help. But, in case this is helpful...

?AIC



David Hewitt
Virginia Institute of Marine Science
http://www.vims.edu/fish/students/dhewitt/
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