[R] Kullback-Leibler divergence
Terrence.Murphy at yale.edu
Tue Jul 3 22:42:36 CEST 2007
Dear R users,
Is anyone willing to share some sample code using R that calculates the
Kullback-Leibler divergence in information contained in the the posterior
distribution relative to the prior for some simple continuous distribution
such as a normal? We are thinking of an informative prior and using
Kullback-Leibler to quantify how much information is gained from the
merging of the data with the prior.
Terrence E. Murphy, Ph.D.
Program on Aging
300 George St., Suite 775
New Haven, CT 06511
terrence.murphy at yale.edu
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