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Let us say we have two similar distriubtions(ex:laplace and normal or weibull and gamma) and we wish to discriminate between these two distributions. One of the most common method to do so is ratio of maximized likelihood. I was thinking of using KL divergence to do so. Any suggestions?

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    $\begingroup$ What do you mean by "discriminate between these two distributions"? Do you have some dataset and you want to know which model fits this data better (because you mentioned maximized likelihood)? What is your ultimate goal? $\endgroup$
    – frank
    Jul 8 at 10:45
  • $\begingroup$ Yes!I have dataset and based on the given data set,I want to decide which model should I go for? $\endgroup$
    – nishant
    Jul 8 at 10:51
  • $\begingroup$ Plese tell us some more details&context, but see stats.stackexchange.com/questions/188903/… $\endgroup$ Jul 8 at 12:29

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