Calculating Relative Entropy

[Savas Cevik]

Dear Statalist,

I would like to calculate 'relative entropy' (also known as Kullback-Leibler Divergence) for categorical outcome variables. I was wondering if there is a built-in or user-written command for this.

I am grateful for any advice.

Best regards,
Savas

[Mike Lacy]

One way to find out if there is something like this is to search within Stata as follows:

search relative entropy
search kullback leibler

If that doesn't reveal anything for you, posting the formula/definition would be helpful. (Note that many of us are not likely in the same discipline or research area as you and therefore won't know the formula. However, we might nevertheless be knowledgeable about how to get Stata to do what you want, if we knew what it was you wanted.)