A measure of the difference between two probability density functions (f and g, say) taking non-zero values on the same interval (a, b). Usually denoted by I, where
It is also called the ‘information in favour of f ’. An equivalent expression holds for the comparison of two discrete distributions. The measure was introduced in 1951 by Kullback and Leibler. See also Bhattacharya distance; Hellinger distance.
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