KL divergence on different domains

1. Apr 20, 2014

flatlinez

Hallo,

I'm trying to compare the distance between two distributions that I got from a Kernel smoothing density estimate (ksdensity in matlab). I was thinking of using the kullback leibler divergence, but I realized that the domains of my distributions are different (see attached).
Can I find a way to use the KLdivergence or i need to find another way?

Thank you

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2. Apr 20, 2014

Stephen Tashi

What is the goal of doing this comparison? If you measure a "distance" between the distribution then what are you comparing that distance to?

It is the "support" of the distributions that are different. You can define the "domain" to be the same. A domain for a probability distribution can include values where the density is zero.