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Assume we have two sampling process, i.e. we can draw samples from two (not explicitly known) distributions P and Q. Is there any simple way to calculate the KL-divergence D(P||Q)? P and Q could be discrete or continuous.

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The whole paper here is on that topic

cosmal.ucsd.edu/~gert/papers/isit_2010.pdf

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The linked paper does not address the original question of two-sample estimation of KL-divergence, but its references [3]-[5] may. Currently the link is dead. I have submitted an edit to update it to web.archive.org/web/20130305001428/http://cosmal.ucsd.edu/~gert/… – user32620 Feb 10 at 20:40

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