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Aug 17, 2016 at 14:00 comment added Aryeh Kontorovich Feel free to mark the answer correct if you agree with it :)
May 24, 2016 at 22:16 comment added Aryeh Kontorovich I would say KL is always defined, just not always finite.
May 19, 2016 at 12:22 comment added user91882 Thanks a lot for the answer. Are there any other known upper bounds that I could look into, as the KL distance is not always defined...
May 17, 2016 at 22:12 history answered Aryeh Kontorovich CC BY-SA 3.0