HMM1.zip KLgauss.m

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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)).