KL_divergence {cvsem} | R Documentation |
Compute KL-Divergence on two covariance matrices. KL-Divergence corresponds to the Maximum Wishart Likelihood (MWL) discrepancy described in (Cudeck and Browne 1983).
KL_divergence(implied_sigma, test_S)
implied_sigma |
Model implied covariances matrix from training set |
test_S |
Sample covariance matrix from test set |
KL-Divergence index
Cudeck R, Browne MW (1983). “Cross-Validation Of Covariance Structures.” Multivariate Behavioral Research, 18, 147–167. doi:10.1207/s15327906mbr1802_2, https://www.tandfonline.com/doi/abs/10.1207/s15327906mbr1802_2.()