Re: [R] Entropy/KL-Distance question

From: David Hewitt <>
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...


David Hewitt
Virginia Institute of Marine Science
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