2
$\begingroup$

I am using Kullback–Leibler divergence criteria for comparing my estimation and true density functions, but I have zero value on my estimation function when I have a testing set of size 10000, mostly in the last testing points. Finally, I get infinity because of the formula of KL as follow,

$$ KL = \int_R f(x) \log\left\{\frac{f(x)}{\hat{f}(x)}\right\} dx$$

Could I still use this criteria ? If yes, how can I use it? if not, is there any other criteria and what's their formula?

Improve this question
$\endgroup$
2
  • 1
    $\begingroup$ Somewhat related: stats.stackexchange.com/q/6907/2970 $\endgroup$
    – cardinal
    May 3, 2014 at 20:45
  • $\begingroup$ @cardinal: I saw that question, it means that instead I can use Hellinger distance with the this formula: $$HD = \int_R \right\{\hat(f)^1/2 - f(x)^1/2\left\}^{2}$$. $\endgroup$
    – rose
    May 4, 2014 at 1:33

0

Reset to default

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.