[R] Entropy/KL-Distance question
David Hewitt
dhewitt37 at gmail.com
Fri Jan 11 20:52:45 CET 2008
> 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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