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st: Need Kullback–Leiber divergence measure

From   "Michael C. Morrison" <>
Subject   st: Need Kullback–Leiber divergence measure
Date   Fri, 07 May 2010 19:46:57 -0500

I've searched Stata (with no success) for "KullbackLeiber divergence" also known as the information number, discrimination function, and “distance.”

It's used to measure the divergence between two distributions.

Any help would be appreciated.

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