[R] Kullback-Leibler divergence

Terrence Murphy 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
Yale University
300 George St., Suite 775
New Haven, CT 06511
terrence.murphy at yale.edu
phone: 203-737-2295
fax:      203-785-4823

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