spk-change-detection.py 文件源码

def kl2(arr1, arr2):
    """Simmetric Kullback-Leibler distance"""
    S1 = np.cov(arr1, rowvar=0)
    S2 = np.cov(arr2, rowvar=0)
    m1 = np.mean(arr1, 0)
    m2 = np.mean(arr2, 0)
    delta = m1 - m2
    d = 0.5 * np.trace((S1 - S2) * (pinv(S2) - pinv(S1))) +\
        0.5 * np.trace((pinv(S1) + pinv(S2)) * delta * delta.T)
    return d