Why kullback-leibler distance?

From: "kalyan" <mkalyan79@xxxxxxxxx>
Date: 9 Apr 2006 23:56:31 -0700

Hi,

I am working with calculating the kullback-leibler distance between two
probability distribution. When this distance measure is not symmetric,
I was wondering why is the distance measure almost a standard to
calculate the distances of PDF ( probability distribution functions).

Or are there any distance measures which overcome this problem of
symmetry. I am calculating distances between multivariate gaussian
distributions.

-Kalyan

.

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