by John on (#6G6JV)
The previous post looked at the best approximation to a normal density by normal density with a different mean. Dan Piponi suggested in the comments that it would be good to look at the Kullback-Leibler (KL) divergence. The previous post looked at the difference from between two densities from an analytic perspective, solving the problem [...]The post KL divergence from normal to normal first appeared on John D. Cook.