I have two datasets $D1$ and $D2$ in two different feature spaces $\mathcal{X}_{1} \in \Re^{m}$ and $\mathcal{X}_{2} \in \Re^{n}$. Further assume that the datasets have different number of data points.

I also do not have any idea about the distribution that each of the above datasets are coming from. Can I still compute the KL divergence between the two datasets ?

I came across the fact that unless we know the distribution of the datasets (or fit a distribution to the datasets), it is not possible for us to compute the KL divergence.

Any comments ?


Your Answer

By clicking "Post Your Answer", you acknowledge that you have read our updated terms of service, privacy policy and cookie policy, and that your continued use of the website is subject to these policies.

Browse other questions tagged or ask your own question.