I am now using Exponential distribution to model the the time intervals of a sequence of random events.Since I can choose several different lamdas for this model , I want to find out which lamda of them is fitting the training data best. I find Kullback–Leibler divergence from some paper is used to do this , but :
I don't know if this way is suitable
I don't know how to operate either
I am new to machine learning . Anyone can help me ?