Is there any reliable file/function to compute relative entropy?

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Menna El Hefnawy
Menna El Hefnawy il 26 Mar 2017
Risposto: Peter Eze il 28 Feb 2018
Hi. Is anyone aware of an efficient exchange file/function to compute the relative entropy between two distributions? The ones available online don't seem to work properly. I can compute it manually but it is very inefficient. I am dealing with intra-daily financial data. Thx MH

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Peter Eze
Peter Eze il 28 Feb 2018
Can we start with the formular of relative entropy you wish to compute?

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