Thanks, that sounds really promising.

Is there an implementation of KL divergence in scikit-learn? If so, how can I 
directly use that?

Regards,
Philipp

> Hi Philipp,
>
> you could try a nearest neighbors approach and use KL-divergence as
> your "distance metric"**
>
> best,
>   Peter
>
> ** KL-divergence is not a proper metric but it might work



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