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Create a tool to measure non-Gaussianity of a KDE #29

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OmriTreidel opened this issue Nov 6, 2016 · 0 comments

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OmriTreidel commented Nov 6, 2016

It would eb handy to have a utility to measure the non-gaussianity of an empirical distribution.

This can be done by estimating the mean and variance of the empirical distribution and use the Kullback–Leibler divergence

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