Kullback-Leibler divergence measure for multivariate skew-normal distributions (Q406157)

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Kullback-Leibler divergence measure for multivariate skew-normal distributions
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    Kullback-Leibler divergence measure for multivariate skew-normal distributions (English)
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    8 September 2014
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    Summary: The aim of this work is to provide the tools to compute the well-known Kullback-Leibler divergence measure for the flexible family of multivariate skew-normal distributions. In particular, we use the Jeffreys divergence measure to compare the multivariate normal distribution with the skew-multivariate normal distribution, showing that this is equivalent to comparing univariate versions of these distributions. Finally, we applied our results on a seismological catalogue data set related to the 2010 Maule earthquake. Specifically, we compare the distributions of the local magnitudes of the regions formed by the aftershocks.
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    skew-normal
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    cross-entropy
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    Kullback-Leibler divergence
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    Jeffreys divergence
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    earthquakes
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    nonparametric clustering
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