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Applied and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments.

1 vote
0 answers
175 views

Kullback-Leibler as a function of weights on a normal mixture

I'm interested in the Kullback-Leibler divergence on multimodal gaussian mixtures. For positive, real weights $\sum_{1\leq k\leq m}w_k=\sum_{m+1\leq k\leq n}w_k=1$, univariate Gaussians $g_k\equiv g …
Matt Cuffaro's user avatar
1 vote
0 answers
210 views

Jensen-Shannon Divergence of Sample Distributions

Given normal distributions with a single positional and variation parameter each, $p_1=\big[\mu_1, \sigma_1\big]$, $p_2=\big[\mu_2, \sigma_2\big]$, we define their Jensen-Shannon divergence as: $$ \te …
Matt Cuffaro's user avatar