HMM & HMM: Get cross-entropy...

Calculates the cross-entropy between the two selected HMM models based on observation sequences.


Observation length
defines the number of observations that have to generated.
defines whether the symmetric formula is used in the calculation.


The cross-entropy is a measure of the distance between two models λ1 and λ2. It is defined as

D12) = 1/N (log p(O21) - log p(O22)),

where O2 is an observation sequence of length N generated by model λ2.

The symmetrized version is:

Ds12) = (D12) + D21))/2.

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© djmw, October 17, 2010