Kullback-Leibler Divergence for the Normal-Gamma Distribution

Autor:	Soch, Joram, Allefeld, Carsten
Rok vydání:	2016
Předmět:	Mathematics - Statistics Theory Quantitative Biology - Neurons and Cognition
Druh dokumentu:	Working Paper
Popis:	We derive the Kullback-Leibler divergence for the normal-gamma distribution and show that it is identical to the Bayesian complexity penalty for the univariate general linear model with conjugate priors. Based on this finding, we provide two applications of the KL divergence, one in simulated and one in empirical data. Comment: 10 pages, 2 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1611.01437 Zobrazit plný text záznamu View this record from Arxiv