I have three data sets X, Y and Z. Each data set defines the frequency of an event occurring. For example:
Data Set X: E1:4, E2:0, E3:10, E4:5, E5:0, E6:0 and so on..
Data Set Y: E1:2, E2:3, E3:7, E4:6, E5:0, E6:0 and so on..
Data Set Z: E1:0, E2:4, E3:8, E4:4, E5:1, E6:0 and so on..
I have to find KL-divergence between X and Y; and between X and Z. As you can see for some of the events there will be 0 and non-zero values. For some of the events all three data sets are 0.
I would appreciated if someone can help me find the KL divergence for this. I am not much of a statistician, so I don't have much idea. The tutorials I was looking at online were a bit too complex for my understanding.