Exact Expressions for Kullback–Leibler Divergence for Multivariate and Matrix-Variate Distributions

Author:

Nawa Victor1ORCID,Nadarajah Saralees2

Affiliation:

1. Department of Mathematics and Statistics, University of Zambia, Lusaka 10101, Zambia

2. Department of Mathematics, University of Manchester, Manchester M13 9PL, UK

Abstract

The Kullback–Leibler divergence is a measure of the divergence between two probability distributions, often used in statistics and information theory. However, exact expressions for it are not known for multivariate or matrix-variate distributions apart from a few cases. In this paper, exact expressions for the Kullback–Leibler divergence are derived for over twenty multivariate and matrix-variate distributions. The expressions involve various special functions.

Funder

IMU-CDC

Publisher

MDPI AG

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