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Exact Expressions for Kullback-Leibler Divergence for Multivariate and Matrix-Variate Distributions
Victor Nawa1, Saralees Nadarajah2
1Department of Mathematics and Statistics, University of Zambia, Lusaka 10101, Zambia.
Abstract:
The Kullback-Leibler divergence is a measure of the divergence between two probability distributions, often used in statistics and information theory. However, exact expressions for it are not known for multivariate or matrix-variate distributions apart from a few cases. In this paper, exact expressions for the Kullback-Leibler divergence are derived for over twenty multivariate and matrix-variate distributions. The expressions involve various special functions.
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