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

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

Answer 1

[Peter Eze]

Can we start with the formular of relative entropy you wish to compute?