www.pudn.com > HMM1.zip > KLgauss.m
function kl = KLgauss(P, Q) %The following computes D(P||Q), the KL divergence between two zero-mean %Gaussians with covariance P and Q: % klDiv = -0.5*(log(det(P*inv(Q))) + trace(eye(N)-P*inv(Q))); R = P*inv(Q); kl = -0.5*(log(det(R))) + trace(eye(length(P))-R); %To get MI, just set P=cov(X,Y) and Q=blockdiag(cov(X),cov(Y)).