Re: Why kullback-leibler distance?

In article <443a87c6@xxxxxxxxxxxxxx>, David Jones <dajxxx@xxxxxxxxx> wrote:
kalyan wrote:
Does Kolmogorov-smirnov statistics be used for multivariate gaussian
distribution. I hope the question makes sense.

-kalyan

The KS measure can be used, but is likely to be difficult to calculate
because of the difficulty in calculating the CDF of the multivariate
gaussian distribution.

Let me add that the distribution of the KS statistic
also under the null hypothesis depends on the jointness
of the distribution, and the asymptotic distribution is
not subject to the usual means of calculation.


--
This address is for information only. I do not claim that these views
are those of the Statistics Department or of Purdue University.
Herman Rubin, Department of Statistics, Purdue University
hrubin@xxxxxxxxxxxxxxx Phone: (765)494-6054 FAX: (765)494-0558
.

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