Kullback–Leibler divergence
KL_divergence.RdCompute the Kullback-Leibler divergence between a "true" state space model and an estimated state space model. The function only works for square systems, where the "true" model is stable and the estimate is (strictly) miniphase.
Details
The KL divergence is computed as follows. Suppose \(y_t = k(z) u_t\), with \(\mathbf{E} u_t u_t' = \Sigma\) is the true model, and let \(y_t = h(z) u_t\), with \(\mathbf{E} u_t u_t'=\Omega\) denote the estimate. W.l.o.g. we assume that the models are in innovation form, i.e. \(k(0) = h(0) = I\). The procedure computes the covariance matrix, \(\Delta = \mathbf{E} e_t e_t'\) say, of the one-step-ahead prediction errors \(e_t = h^{-1}(z) k(z) u_t\) and then the KL divergence $$ \mathrm{KL} = (1/2)(\mathrm{tr}(\Omega^{-1}\Delta) - m - \ln\det(\Omega^{-1}\Delta))) $$ Note that this procedure breaks down if the transfer function \(h^{-1}(z) k(z)\) is not stable. Therefore the true models has to be stable and the estimated model has to strictly miniphase.