[SciPy-User] SciPy.stats.kde.gaussian_kde estimation of information-theoretic measures

[Dan Stowell]

Hi -

I'd like to use SciPy.stats.kde.gaussian_kde to estimate 
Kullback-Leibler divergence. In other words, given KDE estimates of two 
different distributions p(x) and q(x) I'd like to evaluate things like

    integral of {  p(x) log( p(x)/q(x) )  }

Is this possible using gaussian_kde? The method 
kde.integrate_kde(other_kde) gets halfway there. Or if not, are there 
other modules that can do this kind of thing?

Thanks for any suggestions
Dan

-- 
Dan Stowell
Centre for Digital Music
School of Electronic Engineering and Computer Science
Queen Mary, University of London
Mile End Road, London E1 4NS
http://www.elec.qmul.ac.uk/department/staff/research/dans.htm
http://www.mcld.co.uk/